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 | |
| 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