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) |
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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