Calibration as Testing
Inference in Simulated Macroeconomic Models
Bibliographic Data
| ID | 19418212 |
|---|---|
| Authors | Allan W Gregory (Queen's University), Gregor W Smith (0000-0002-1566-7567, Queen's University) |
| Year | 1991 |
| Volume | 9 |
| Issue | 3 |
| Pages | 297-303 |
| Publication date | 1991-07-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1991.10509855 |
| OpenAlex | W2072457028 |
| Language | EN |
| Citations received | 6 |
| References cited | 16 |
A stochastic macroeconomic model with no free parameters can be tested by comparing its features, such as moments, with those of data. Repeated simulation allows exact tests and gives the distribution of the sample moment under the null hypothesis that the model is true. We calculate the size of tests of the model studied by Mehra and Prescott. The approximate size of their test (which seeks to match model-generated, mean, risk-free interest rates and equity premia with historical values) is 0 although alternate, empirical representations of this model economy or alternate moment-matching tests yield large probabilities of Type I error
Calibration · Econometrics · Economics · Estimator · Indirect Inference · Inference · Null hypothesis · Sample size determination · Statistical hypothesis testing · Statistics · Computer Science · Financial Markets and Investment Strategies · Mathematics · Monetary Policy and Economic Impact · Stochastic processes and financial applications
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Swinging All the Way
| Unique citing works | 6 |
|---|---|
| Citations per year | 0.19 |
| Citation span | 1994 - 2023 (30) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 5 |