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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
Persistent link: https://www.econbiz.de/10003645209
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Forecasting aggregate productivity using information from firm-level data
Bartelsman, Eric J.; Wolf, Zoltán - 2009
Persistent link: https://www.econbiz.de/10003851120
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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on realised or bipower variation are applied. This article instead starts from a continuous time diffusion model and derives a parametric analog at high frequency for it, allowing...
Persistent link: https://www.econbiz.de/10011374428
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Forecasting aggregate productivity using information from firm-level data
Bartelsman, Eric J.; Wolf, Zoltán - 2009
This paper contributes to the productivity literature by using results from firm-level productivity studies to improve forecasts of macro-level productivity growth. The paper employs current research methods on estimating firm-level productivity to build times-series components that capture the...
Persistent link: https://www.econbiz.de/10011378362
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Aggregating infinitely many probability measures
Herzberg, Frederik - 2014
wishes to evaluate her options on the basis of a single aggregate prior via classical expected utility theory (a … preference and judgment aggregation theory which show that the aggregate of several probability measures should not be conceived … McConway's (Journal of the American Statistical Association, vol. 76, no. 374, pp. 410-414, 1981) theory of probabilistic …
Persistent link: https://www.econbiz.de/10010234048
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Variable Mismeasurement in a Class of DSGE Models : Comment
Fair, Ray C. - 2019
This comment points out mismeasurement of three of the variables in the DSGE model in Smets and Wouters (2007) and in models that use the Smets-Wouters model as a benchmark. The mismeasurement appears serious enough to call into question the reliability of empirical results using these variables
Persistent link: https://www.econbiz.de/10012865189
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Forecasting Aggregate Productivity Using Information from Firm-Level Data
Bartelsman, Eric J. - 2017
This paper contributes to the productivity literature by using results from firm-level productivity studies to improve forecasts of macro-level productivity growth. The paper employs current research methods on estimating firm-level productivity to build times-series components that capture the...
Persistent link: https://www.econbiz.de/10012976846
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The Bayesian approach to poverty measurement
Lubrano, Michel; Xun, Zhou - 2021
Persistent link: https://www.econbiz.de/10012548150
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Measuring dependence in the Wasserstein distance for Bayesian nonparametric models
Catalano, Marta; Lijoi, Antonio; Prünster, Igor - 2021
Persistent link: https://www.econbiz.de/10012514038
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Bayesian econometrics
Bernardi, Mauro (ed.); Grassi, Stefano (ed.);  … - 2020
Since the advent of Markov chain Monte Carlo (MCMC) methods in the early 1990s, Bayesian methods have been proposed for a large and growing number of applications. One of the main advantages of Bayesian inference is the ability to deal with many different sources of uncertainty, including data,...
Persistent link: https://www.econbiz.de/10012586923