Testing macroeconomic models by indirect inference on unfiltered data

Meenagh, David ORCID: https://orcid.org/0000-0002-9930-7947, Minford, Patrick and Wickens, Michael ORCID: https://orcid.org/0000-0002-6862-0674 2012. Testing macroeconomic models by indirect inference on unfiltered data. [Working Paper]. Cardiff Economics Working Papers, Cardiff: Cardiff University.

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Abstract

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.

Item Type:	Monograph (Working Paper)
Date Type:	Publication
Status:	Published
Schools:	Schools > Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory
Publisher:	Cardiff University
Date of First Compliant Deposit:	30 March 2016
Last Modified:	28 Oct 2022 10:21
URI:	https://orca.cardiff.ac.uk/id/eprint/77940

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