DP9058 Testing macroeconomic models by indirect inference on unfiltered data

Author(s): David Meenagh, Patrick Minford, Michael R. Wickens
Publication Date: July 2012
Keyword(s): Bootstrap, DSGE, indirect inference, Monte Carlo, VECM
JEL(s): C12, C32, C52, E1
Programme Areas: International Macroeconomics
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=9058

We extend the method of indirect inference testing to data that is not filtered and so may be non-stationary. We apply the method to an open economy real businss cycle model on UK data. We review the method using a Monte Carlo experiment and find that it performs accurately and has good power.