Showing 1 - 10 of 24,647
This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field.
Persistent link: https://www.econbiz.de/10014024288
Persistent link: https://www.econbiz.de/10011399615
Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...
Persistent link: https://www.econbiz.de/10014306581
Persistent link: https://www.econbiz.de/10012299251
We introduce a general approach for analyzing large-scale text-based data, combining the strengths of neural network language processing and generative statistical modeling to create a factor structure of unstructured data for downstream regressions typically used in social sciences. We generate...
Persistent link: https://www.econbiz.de/10015145119
This paper extends the canonical model of epidemiology, SIRD model, to allow for time varying parameters for real-time measurement of the stance of the COVID-19 pandemic. Time variation in model parameters is captured using the generalized autoregressive score modelling structure designed for...
Persistent link: https://www.econbiz.de/10012242959
applied statistics or econometrics. The key purpose of the problems book is to provide a variety of problems with solutions …
Persistent link: https://www.econbiz.de/10011774202
We argue that deep learning provides a promising avenue for taming the curse of dimensionality in quantitative economics. We begin by exploring the unique challenges posed by solving dynamic equilibrium models, especially the feedback loop between individual agents' decisions and the aggregate...
Persistent link: https://www.econbiz.de/10015145068
Persistent link: https://www.econbiz.de/10011669075
Persistent link: https://www.econbiz.de/10011529872