TY  - JOUR
AU  - Christiano,Lawrence J.
AU  - Haan,Wouter J. Den
TI  - Small Sample Properties of GMM for Business Cycle Analysis
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 177
PY  - 1995
Y2  - March 1995
UR  - http://www.nber.org/papers/t0177
L1  - http://www.nber.org/papers/t0177.pdf
N1  - Author contact info:
Lawrence Christiano
Department of Economics
Northwestern University
2001 Sheridan Road
Evanston, IL 60208
Tel: 847/491-8231
Fax: 847/491-7001
E-Mail: l-christiano@northwestern.edu
AB  - 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.
ER  -