Testing Macro Models by Indirect Inference: A Survey for Users
Tóm tắt
Từ khóa
Tài liệu tham khảo
Basawa IV, Mallik AK, McCormick WP, Reeves JH, Taylor RL (1991) Bootstrapping unstable first-order autoregressive processes. Ann Stat 19:1098–1101
Bernanke BS, Gertler M, Gilchrist S (1999) The financial accelerator in a business cycle framework, Handbook of Macroeconomics. In: Taylor JB, Woodford M (eds), vol 1, ch. 21. Elsevier, pp 1341–1393
Canova F (1995) Sensitivity analysis and model evaluation in dynamic stochastic general equilibrium models. Int Econ Rev 36:477–501
Canova F (2005) Methods for Applied Macroeconomic Research. Princeton University Press, Princeton
Christiano LJ, Eichenbaum M, Evans CL (2005) Nominal rigidities and the dynamic effects of a shock to monetary policy. J Polit Econ 113(1):1–45
Clarida R, Gali J, Gertler ML (1999) The science of monetary policy: A new Keynesian perspective. J Econ Lit 37(4):1661–1707
Dai L, Minford P, Zhou P (2014) A DSGE model of China, cardiff economics working paper No E2014/4, Cardiff University, Cardiff Business School, Economics Section; also CEPR discussion paper 10238, CEPR, London
Dave C, Jong D, DN (2007) Structural macroeconomics. Princeton University Press
Del Negro M, Schorfheide F (2004) Priors from general equilibrium models for VARs. Int Econ Rev 45:643–673
Del Negro M, Schorfheide F (2006) How good is what you’ve got? DSGE-VAR as a toolkit for evaluating DSGE models. Economic Review Federal Reserve Bank of Atlanta Q2:21–37
Del Negro M, Schorfheide F, Smets F, Wouters R (2007a) On the fit of new Keynesian models. J Bus Econ Stat 25:123–143
Del Negro M, Schorfheide F, Smets F, Wouters R (2007b) Rejoinder to comments on ‘On the fit of new Keynesian models’. J Bus Econ Stat 25:159–162
Fernandez-Villaverde J, Rubio-Ramirez F, Sargent T, Watson M (2007) ABCs (and Ds) of understanding VARs. American Economic Review 97:1021–1026
Friedman M (1953) The methodology of positive economics, in essays in positive economics. University of Chicago Press, Chicago
Gourieroux C, Monfort A (1995) Simulation based econometric methods. CORE lectures series, Louvain-la-Neuve
Gregory A, Smith G (1991) Calibration as testing: Inference in simulated macro models. J Bus Econ Stat 9:293–303
Gregory A, Smith G (1993) Calibration in macroeconomics. In: Maddala G (ed) Handbook of Statistics, vol 11. Elsevier, St. Louis, Mo., pp 703–719
Hansen L P, Heckman J J (1996) The empirical foundations of calibration. J Econ Perspect 10(1):87–104
Horowitz JL (2001a) The bootstrap. In: Heckman JJ, Leamer E (eds) Handbook of Econometrics, vol.5, ch. 52. Elsevier, pp 3159–3228
Juillard M (2001) DYNARE: a program for the simulation of rational expectations models. Computing in economics and finance 213. Society for Computational Economics
Le VPM, Meenagh D, Minford P, Wickens M (2010) Two orthogonal continents? testing a two-country DSGE model of the us and the eu using indirect inference. Open Econ Rev 21(1):23–44
Le VPM, Meenagh D, Minford P, Wickens M (2011) How much nominal rigidity is there in the US economy — testing a New Keynesian model using indirect inference. J Econ Dyn Control 35(12):2078–2104
Le VPM, Meenagh D, Minford P (2012) What causes banking crises? An empirical investigation. Cardiff working paper No E2012/14, Cardiff University, Cardiff Business School, Economics Section; also CEPR discussion paper no 9057, CEPR, London
Le VPM, Meenagh D, Minford P (2014) Monetarism rides again? US monetary policy in a world of Quantitative Easing, Cardiff working paper No E2014/22, Cardiff University, Cardiff Business School, Economics Section; also CEPR discussion paper 10250, CEPR, London
Le VPM, Minford P, Wickens M (2013) A Monte Carlo procedure for checking identification in DSGE models, working paper E2013/4, Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section; also CEPR discussion paper
Le VPM, Matthews K, Meenagh D, Minford P, Xiao Z (2014) Banking and the macroeconomy in China: A banking crisis deferred Open Econ Rev 25(1):123–161
Liu C, Minford P (2014a) Comparing behavioural and rational expectations for the US post-war economy. Econ Model 43(C):407–415
Liu C, Minford P (2014b) How important is the credit channel? An empirical study of the US banking crisis. J Bank Finance 41:119–134
Lucas RE (1976) Econometric policy evaluation: A critique, Carnegie Rochester Conference Series on Public Policy No. 1, The Phillips Curve and Labour markets. In: Brunner K, Meltzer A (eds) supplement to Journal of Monetary Economics
McCallum BT (1976) Rational expectations and the natural rate hypothesis: some consistent estimates. Econometrica 44:4–52
Meenagh D, Minford P, Wickens M R (2009) Testing a DSGE model of the EU Using indirect inference. Open Econ Rev 20(4):435–471
Meenagh D, Minford P, Wickens M R, Xu Y (2015) Comparing Indirect inference and likelihood testing methods: asymptotic and small sample results. Working paper, Cardiff Economics Working Papers No E2015/4, Cardiff University, Cardiff Business School, Economics Section
Meenagh D, Minford P, Nowell E, Sofat P (2010) Can a real business cycle model without price and wage stickiness explain UK real exchange rate behaviour J Int Money Financ 29(6):1131–1150
Meenagh D, Minford P, Wickens MR (2012) Testing macroeconomic models by indirect inference on unfiltered data, Cardiff Working Paper No E2012/17, Cardiff University, Cardiff Business School, Economics Section; also CEPR discussion paper no 9058, CEPR, London
Minford P, Ou Z (2013) Taylor Rule or optimal timeless policy? Reconsidering the Fed’s behavior since 1982. Econ Model 32(C):113–123
Minford P, Theodoridis K, Meenagh D (2009) Testing a model of the UK by the method of indirect inference. Open Econ Rev 20(2):265–291
Minford P, Ou Z, Wickens M (2012) Revisiting the Great Moderation: policy or luck? working paper E2012/9, Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section; forthcoming Open Economies Review
Smets F, Wouters R (2003) An estimated dynamic stochastic general equilibrium model of the euro area. J Eur Econ Assoc 1(5):p1123–1175
Smets F, Wouters R (2007) Shocks and frictions in US business cycles: A Bayesian DSGE approach. Am Econ Rev 97:586–606
Smith A (1993) Estimating nonlinear time-series models using simulated vector autoregressions. J Appl Econ 8:S63–S84
Wieland V, Wolters M H (2012) Forecasting and policy making. In: Elliott G, Timmerman A (eds) Handbook of economic forecasting, Vol. 2. Elsevier
Wickens MR (1982) The efficient estimation of econometric models with rational expectations. Rev Econ Stud 49:55–67