Discussion paper

DP9058 Testing macroeconomic models by indirect inference on unfiltered data

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.

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Citation

Minford, P, M Wickens and D Meenagh (2012), ‘DP9058 Testing macroeconomic models by indirect inference on unfiltered data‘, CEPR Discussion Paper No. 9058. CEPR Press, Paris & London. https://cepr.org/publications/dp9058