Testing Part of a DSGE Model by Indirect Inference
提出一种只检验DSGE模型中部分方程的方法，利用间接推断和有限信息模型统计推断，在Smets-Wouters模型的小样本检验中表现优于渐近分布理论，并发现工资-价格部门是模型被拒绝的主因。
Abstract We propose a way of testing a subset of equations of a DSGE model. The test draws on statistical inference for limited information models and the use of indirect inference to test DSGE models. Using the numerical small sample distribution of our test for two subsets of equations of the Smets–Wouters model we show that the test has accurate size and good power in small samples, and better power than using asymptotic distribution theory. In a test of the Smets–Wouters model on US Great Moderation data, we reject the specification of the wage‐price but not the expenditure sector. This points to the wage‐price sector as the source of overall model rejection.