Search Results - subject:"Envelope"

International Monetary Fund (IMF); International … - 2013

This Selected Issues paper analyzes reforms to Mexicoâ€™s fiscal framework. Mexicoâ€™s resilient economic performance would be consolidated by increasing fiscal policy buffers and preparing for challenges associated with long-term budget pressures. In the short term, reducing public...

Persistent link: https://www.econbiz.de/10011243718

Can a Government Enhance Long-Run Growth by Changing the Composition of Public Expenditure?

Ormaechea, Santiago Acosta; Morozumi, Atsuyoshi - International Monetary Fund (IMF) - 2013

This paper studies the effects of public expenditure reallocations on long-run growth. To do this, we assemble a new dataset based on the IMF’s GFS yearbook for the period 1970-2010 and 56 countries (14 low-, 16 medium-, and 26 high-income countries). Using dynamic panel GMM estimators, we...

Persistent link: https://www.econbiz.de/10011142172

Asymptotically UMP Panel Unit Root Tests

Drost, Feike C.; Becheri, I.G.; van den Akker, R. - Tilburg University, Center for Economic Research - 2013

local) power envelope for two models: an auxiliary model where both the panel units and the random perturbations are … are Locally Asymptotically Normal (LAN). It turns out that there is an information loss: the power envelope for the … auxiliary model is above the envelope for the model of main interest. Equality only holds if the alternatives are homogeneous …

Persistent link: https://www.econbiz.de/10011092555

Risk of rare disasters, Euler equation errors and the performance of the C-CAPM : conference paper

Posch, Olaf; Schrimpf, Andreas - 2013

This paper shows that the consumption-based asset pricing model (C-CAPM) with low-probability disaster risk rationalizes large pricing errors, i.e., Euler equation errors. This result is remarkable, since Lettau and Ludvigson (2009) show that leading asset pricing models cannot explain sizeable...

Persistent link: https://www.econbiz.de/10010338284

Envelope theorems for non-smooth and non-concave optimization

Clausen, Andrew; Strub, Carlo - 2012

. Nevertheless, we establish a general envelope theorem: first-order conditions are necessary at interior optimal choices. We only …

Persistent link: https://www.econbiz.de/10010316853

Euler Equation estimation on micro data

Alan, Sule; Atalay, Kadir; Crossley, Thomas F. - 2012

First order conditions from the dynamic optimization problems of consumers and firms are important tools in empirical macroeconomics. When estimated on micro-data these equations are typically linearized so standard IV or GMM methods can be employed to deal with the measurement error that is...