Testing a model of the UK by the method of indirect inference

Minford, Anthony Patrick Leslie ORCID: https://orcid.org/0000-0003-2499-935X, Theodoridis, Konstantinos ORCID: https://orcid.org/0000-0002-4039-3895 and Meenagh, David ORCID: https://orcid.org/0000-0002-9930-7947 2008. Testing a model of the UK by the method of indirect inference. Open Economies Review 20 (2) , pp. 265-291. 10.1007/s11079-008-9085-5

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Abstract

We use the method of indirect inference to test a full open economy model of the UK that has been in forecasting use for three decades. The test establishes, using a Wald statistic, whether the parameters of a time-series representation estimated on the actual data lie within some confidence interval of the model-implied distribution. Various forms of time-series representation that could deal with the UK’s various changes of monetary regime are tried; two are retained as adequate. The model is rejected under one but marginally accepted under the other, suggesting that with some modifications it could achieve general acceptability and that the testing method is worth investigating further.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Advanced Research Computing @ Cardiff (ARCCA) Business (Including Economics)
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory H Social Sciences > HG Finance
Uncontrolled Keywords:	Bootstrap ; Model evaluation ; Non-linear time series models ; Indirect inference ; Open economy models ; UK models
Publisher:	Springer
ISSN:	0923-7992
Last Modified:	02 Mar 2023 14:27
URI:	https://orca.cardiff.ac.uk/id/eprint/20184

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