NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Small Sample Properties of GMM for Business Cycle Analysis

Lawrence J. Christiano, Wouter J. Den Haan

NBER Technical Working Paper No. 177
Issued in March 1995
NBER Program(s):   EFG

We investigate, by Monte Carlo methods, the finite sample properties of GMM 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.

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Document Object Identifier (DOI): 10.3386/t0177

Published: Christiano, Lawrence J. and Wouter J. Den Haan. "Small-Sample Properties Of GMM For Business-Cycle Analysis," Journal of Business and Economic Statistics, 1996, v14(3,Jul), 309-327.

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