Small-Sample Properties of GMM for Business-Cycle Analysis

Lawrence J. Christiano · Wouter J. Den Haan

55 citations0/0 files storedJournal of Business and Economic Statistics

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Monetary Policy and Economic Impact Economic theories and models Statistical and numerical algorithms

Abstract

We investigate, by Monte Carlo methods, the finite-sample properties of generalized method of moment 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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References

1982Time to Build and Aggregate Fluctuations 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1994Automatic Lag Selection in Covariance Matrix Estimation 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis 1983Real Business Cycles 1985Indivisible labor and the business cycle 1992International Real Business Cycles 1986Theory ahead of business-cycle measurement

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