IDEAS home Printed from https://ideas.repec.org/a/bes/jnlbes/v9y1991i3p297-303.html
   My bibliography  Save this article

Calibration as Testing: Inference in Simulated Macroeconomic Models

Author

Listed:
  • Gregory, Allan W
  • Smith, Gregor W

Abstract

A stochastic macroeconomic model with no free parameters can be tested by comparing its features, such as moments, with those of data. Repeated simulation allows exact tests and gives the distribution of the sample moment under the null hypothesis that the model is true. The authors calculate the size of tests of the model studied by R. Mehra and E. C. Prescott. The approximate size of their test (which seeks to match model-generated, mean, risk-free interest rates and equity premia with historical values) is zero, although alternate empirical representations of this model economy or alternate moment-matching tests yield large probabilities of the type I error.

Suggested Citation

  • Gregory, Allan W & Smith, Gregor W, 1991. "Calibration as Testing: Inference in Simulated Macroeconomic Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(3), pages 297-303, July.
    • Handle: RePEc:bes:jnlbes:v:9:y:1991:i:3:p:297-303
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bes:jnlbes:v:9:y:1991:i:3:p:297-303. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.