Simulation-based tests of forward-looking models under VAR learning dynamics
VAR 学习动态下前瞻模型的模拟检验
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 (VAR) models. We consider ‘one-shot’ tests to evaluate the FL model under the rational expectations hypothesis and sequences of tests obtained under the adaptive learning…