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.