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A stochastic macroeconomic model with no free parameters can be tested by comparing its features, such as moments, with those of data. Repeated simulation allows exact tests and gives the distribution of the sample moment under the null hypothesis that the model is true. The authors calculate the size of tests of the model studied by R. Mehra and E. C. Prescott. The approximate size of their test (which seeks to match model-generated, mean, risk-free interest rates and…

自回归条件异方差的非参数检验：马尔可夫链方法AI 解读

In this article we propose a nonparametric test for autoregressive conditional heteroscedasticity based on finite-state Markov chains. A simple Monte Carlo experiment suggests that in finite samples it performs comparably to the Lagrange multiplier test under conditional normality and is superior for the t, lognormal, and exponential distributions. As an illustration, we apply both tests to Canadian/U.S. forward foreign exchange data.