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Small-Sample Properties of GMM for Business-Cycle Analysis

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  • Chistiano, Lawrence J
  • den Haan, Wouter J

Abstract

The authors investigate, by Monte Carlo methods, the finite sample properties of generalized method of moments 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. The authors' 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.

Suggested Citation

  • Chistiano, Lawrence J & den Haan, Wouter J, 1996. "Small-Sample Properties of GMM for Business-Cycle Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 309-327, July.
    • Handle: RePEc:bes:jnlbes:v:14:y:1996:i:3:p:309-27
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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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