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Small sample properties of GMM for business cycle analysis

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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.

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  • Lawrence J. Christiano & Wouter J. Den Haan, 1995. "Small sample properties of GMM for business cycle analysis," Staff Report 199, Federal Reserve Bank of Minneapolis.
    • Handle: RePEc:fip:fedmsr:199
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    Keywords

    Business cycles;

    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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