Simulation-based tests of forward-lookin
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Luca Fanelli; Giulio Palomba
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Article
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2010
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John Wiley and Sons
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English
β 230 KB
In this paper we propose a simulation-based technique to investigate the finite sample performance of likelihood ratio (LR) tests for the nonlinear restrictions that arise when a class of forward-looking (FL) models typically used in monetary policy analysis is evaluated with vector autoregressive (