Creator

• Christiano, Lawrence J.
• Den Haan, Wouter J., 1962-

Series

• Staff report (Federal Reserve Bank of Minneapolis. Research Department)

Issue number

• 199

Date created

• 1995-09

Abstract

• 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.

Keyword

• Spectral density
• Finite-sample analysis
• Hypothesis testing
• Monte Carlo simulation
• Covariance matrix estimation
• Prewhitening

Related information

• Published in: Journal of Business and Economic Statistics (Vol. 14, No. 3, July 1996, pp. 309-327) https://doi.org/10.2307/1392445.

Corporate Author

• Federal Reserve Bank of Minneapolis. Research Department

Publisher

• Federal Reserve Bank of Minneapolis

Resource type

• Research Paper

DOI

•  https://doi.org/10.21034/sr.199

License

• Creative Commons BY-NC Attribution-NonCommercial 4.0 International

In Collection:

• Staff Reports

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