The ‘Puzzles’ methodology: En route to Indirect Inference?

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...

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Bibliographic Details
Published inEconomic modelling Vol. 27; no. 6; pp. 1417 - 1428
Main Authors Le, Vo Phuong Mai, Minford, Patrick, Wickens, Michael
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.11.2010
Elsevier
Elsevier Science Ltd
SeriesEconomic Modelling
Subjects
Anomaly
Bootstrap
Bootstrap mechanism
Bootstrap US-EU model DSGE VAR Indirect Inference Wald statistic Anomaly Puzzle
Comparative analysis
DSGE
Dynamic models
Economic models
General economic equilibrium
Indirect Inference
Puzzle
Simulation
Statistical inference
Stochastic models
Studies
US–EU model
VAR
Vector-autoregressive models
Wald statistic
Indirect Inference
C52
C32
Puzzle
C12
VAR
Bootstrap
Anomaly
US–EU model
E1
DSGE
Wald statistic
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Summary: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.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0264-9993
1873-6122
DOI:10.1016/j.econmod.2010.07.016