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Small Sample Properties of GMM for Business Cycle Analysis / Lawrence J. Christiano, Wouter J. Den Haan.
- Format:
- Book
- Author/Creator:
- Christiano, Lawrence J.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0177.
- NBER technical working paper series no. t0177
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1995.
- Summary:
- We investigate, by Monte Carlo methods, the finite sample properties of GMM procedures for conducting inference about statistics that are of interest in the business cycle literature. These statistics include the second moments of data filtered using the first difference and Hodrick-Prescott filters, and they include statistics for evaluating model fit. Our results indicate that, for the procedures considered, the existing asymptotic theory is not a good guide in a sample the size of quarterly postwar U.S. data.
- Notes:
- Print version record
- March 1995.
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