Comparison of misspecified calibrated models: the minimum distance approach

DOI10.1016/j.jeconom.2012.01.007zbMath1443.62461OpenAlexW2122967792MaRDI QIDQ527985

Vadim Marmer, Yao Tang, Viktoria Hnatkovska

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000085

zbMATH Keywords

minimum distance estimationcalibrationmisspecified models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites Work

• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Indirect inference and calibration of dynamic stochastic general equilibrium models
• Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
• Liquidity and interest rates
• On the behavior of inconsistent instrumental variable estimators
• Asymptotics for linear processes
• The large sample behaviour of the generalized method of moments estimator in misspecified models
• A Reality Check for Data Snooping
• Model selection tests for nonlinear dynamic models
• Asymptotic Inference about Predictive Ability
• Econometrics

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