Staff Report 199

Small Sample Properties of GMM for Business Cycle Analysis

Lawrence J. Christiano | Consultant
Wouter den Haan

Published September 1, 1995

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.

Published In: Journal of Business and Economic Statistics (Vol. 14, No. 3, July 1996, pp. 309-327)

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