Small-sample properties of GMM for business-cycle analysis

Lawrence J. Christiano; Wouter J. Den Haan

doi:10.1080/07350015.1996.10524659

Small-sample properties of GMM for business-cycle analysis

Lawrence J. Christiano, Wouter J. Den Haan

Economics

Research output: Contribution to journal › Article › peer-review

33 Scopus citations

Abstract

We investigate, by Monte Carlo methods, the finite-sample properties of generalized method of moment 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.

Original language	English (US)
Pages (from-to)	309-327
Number of pages	19
Journal	Journal of Business and Economic Statistics
Volume	14
Issue number	3
DOIs	https://doi.org/10.1080/07350015.1996.10524659
State	Published - Jul 1996

Keywords

Covariance matrix estimation
Finite-sample analysis
Hypothesis testing
Monte Carlo simulation
Prewhitening
Spectral density

ASJC Scopus subject areas

Statistics and Probability
Social Sciences (miscellaneous)
Economics and Econometrics
Statistics, Probability and Uncertainty

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AU - Den Haan, Wouter J.

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AB - We investigate, by Monte Carlo methods, the finite-sample properties of generalized method of moment 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.

KW - Covariance matrix estimation

KW - Finite-sample analysis

KW - Hypothesis testing

KW - Monte Carlo simulation

KW - Prewhitening

KW - Spectral density

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Small-sample properties of GMM for business-cycle analysis

Abstract

Keywords

ASJC Scopus subject areas

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