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Small Sample Properties of GMM for Business Cycle Analysis

  • Lawrence J. Christiano
  • Wouter J. Den Haan

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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Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0177.

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Date of creation: Mar 1995
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Publication status: published as 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.
Handle: RePEc:nbr:nberte:0177
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