全球智库信息集成服务系统(G2TT): DP10765 Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results

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来源类型	Discussion paper
规范类型	论文
来源ID	DP10765
	DP10765 Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results
	Patrick Minford; Michael R. Wickens; David Meenagh
发表日期	2015-08-16
出版年	2015
语种	英语
摘要	Indirect Inference has been found to have much greater power than the Likelihood Ratio in small samples for testing DSGE models. We look at asymptotic and large sample properties of these tests to understand why this might be the case. We find that the power of the LR test is undermined when re-estimation of the error parameters is permitted; this offsets the effect of the falseness of structural parameters on the overall forecast error. Even when the two tests are done on a like-for-like basis Indirect Inference has more power because it uses the distribution restricted by the DSGE model being tested.
主题	Monetary Economics and Fluctuations
关键词	Dsge model Error processes indirect inference Likelihood ratio Structural parameters
URL	https://cepr.org/publications/dp10765
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/539596
推荐引用方式 GB/T 7714	Patrick Minford,Michael R. Wickens,David Meenagh. DP10765 Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results. 2015.