Small Sample Properties of GMM for Business Cycle Analysis
(1570 K)
|
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.
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.
This paper is available as PDF (1570 K) or via email.
Machine-readable bibliographic record -
MARC,
RIS,
BibTeX
|
|
|
About
Support
The research activities of the NBER are funded by grants from federal research agencies, by private foundations, and by generous donations from our corporate associates and from private individuals. The NBER is a non-profit, 501(c)(3) organization. For information on supporting the NBER, please contact:
Mr. Denis Healy, Director of Development
NBER
1050 Massachusetts Avenue
Cambridge, MA 02138-5398
ph: 617-868-3900
email: dhealy@nber.org
Close
