The 'Puzzles' methodology: En route to Indirect Inference?

TY - JOUR

T1 - The 'Puzzles' methodology: En route to Indirect Inference?

AU - Le, Vo Phuong Mai

AU - Minford, Patrick

AU - Wickens, Michael

PY - 2010/11

Y1 - 2010/11

N2 - We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments with data moments. We compare these with the method of Indirect Inference to which they are closely related. We illustrate the comparison with contrasting assessments of a two-country model in two recent papers. We conclude that Indirect Inference is the proper end point of the puzzles methodology. (C) 2010 Elsevier B.V. All rights reserved.

AB - We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments with data moments. We compare these with the method of Indirect Inference to which they are closely related. We illustrate the comparison with contrasting assessments of a two-country model in two recent papers. We conclude that Indirect Inference is the proper end point of the puzzles methodology. (C) 2010 Elsevier B.V. All rights reserved.

KW - Bootstrap

KW - US-EU model

KW - DSGE

KW - VAR

KW - Indirect Inference

KW - Wald statistic

KW - Anomaly

KW - Puzzle

KW - MONETARY-POLICY

KW - MODELS

UR - http://www.scopus.com/inward/record.url?scp=77958512312&partnerID=8YFLogxK

U2 - 10.1016/j.econmod.2010.07.016

DO - 10.1016/j.econmod.2010.07.016

M3 - Article

VL - 27

SP - 1417

EP - 1428

JO - Economic Modelling

JF - Economic Modelling

IS - 6

ER -