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Do expectations matter? The Great Moderation revisited

Canova, Fabio; Gambetti, Luca - Department of Economics and Business, Universitat … - 2007

We examine the role of expectations in the Great Moderation episode. We derive theoretical restrictions in a New …-Keynesian model and test them using measures of expectations obtained from survey data, the Greenbook and bond markets. Expectations … without expectations display similar reduced form characteristics. Including or excluding expectations hardly changes the …

Persistent link: https://www.econbiz.de/10005827517

Stable sunspot equilibria in a cash-in-advance economy

Evans, George W.; Honkapohja, Seppo; Marimon, Ramon - Department of Economics and Business, Universitat … - 2004

We analyze a monetary model with flexible labor supply, cash-inadvance constraints and seigniorage-financed government deficits. If the intertemporal elasticity of substitution of labor is greater than one, there are two steady states, one determinate and the other indeterminate. If the...

Persistent link: https://www.econbiz.de/10005827487

Measuring strategic uncertainty in coordination games

Heinemann, Frank; Nagel, Rosemarie; Ockenfels, Peter - Department of Economics and Business, Universitat … - 2004

This paper explores three aspects of strategic uncertainty: its relation to risk, predictability of behavior and subjective beliefs of players. In a laboratory experiment we measure subjects’ certainty equivalents for three coordination games and one lottery. Behavior in coordination games is...

Persistent link: https://www.econbiz.de/10005827518

Cognitive bubbles

Bosch-Rosa, Ciril; Meissner, Thomas; Bosch-Domènech, Antoni - Department of Economics and Business, Universitat … - 2015

Smith et al. (1988) reported large bubbles and crashes in experimental asset markets, a result that has been replicated by a large literature. Here we test whether the occurrence of bubbles depends on the experimental subjects' cognitive sophistication. In a two-part experiment, we first run a...

Persistent link: https://www.econbiz.de/10011127588

Pre-play communication and credibility: A test of Aumann's conjecture

Charness, Gary - Department of Economics and Business, Universitat … - 1998

The effectiveness of pre-play communication in achieving efficient outcomes has long been a subject of controversy. In some environments, cheap talk may help to achieve coordination. However, Aumann conjectures that, in a variant of the Stag Hunt game, a signal for efficient play is not...

Persistent link: https://www.econbiz.de/10005772240

Subsampling inference in threshold autoregressive models

Gonzalo, Jesús; Wolf, Michael - Department of Economics and Business, Universitat … - 2001

This paper discusses inference in self exciting threshold autoregressive (SETAR) models. Of main interest is inference for the threshold parameter. It is well-known that the asymptotics of the corresponding estimator depend upon whether the SETAR model is continuous or not. In the continuous...

Persistent link: https://www.econbiz.de/10005827465

Improved nonparametric confidence intervals in time series regressions

Romano, Joseph P.; Wolf, Michael - Department of Economics and Business, Universitat … - 2002

Condence intervals in econometric time series regressions suffer from notorious coverage problems. This is especially true when the dependence in the data is noticeable and sample sizes are small to moderate, as is often the case in empirical studies. This paper suggests using the studentized...

Persistent link: https://www.econbiz.de/10005827510

Alternative tests for correct specification of conditional predictive densities

Rossi, Barbara; Sekhposyan, Tatevik - Department of Economics and Business, Universitat … - 2014

We propose new methods for evaluating predictive densities in an environment where the estimation error of the parameters used to construct the densities is preserved asymptotically under the null hypothesis. The tests offer a simple way to evaluate the correct specification of predictive...

Persistent link: https://www.econbiz.de/10011234883

Model comparisons in unstable environments

Giacomini, Raffaella; Rossi, Barbara - Department of Economics and Business, Universitat … - 2014

The goal of this paper is to develop formal tests to evaluate the relative in-sample per- formance of two competing, misspecified, non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global...

Persistent link: https://www.econbiz.de/10011250936

Out-of-sample forecast tests robust to the choice of window size

Rossi, Barbara; Inoue, Atsushi - Department of Economics and Business, Universitat … - 2012

This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over a wide range of window sizes. We show that the tests...

Persistent link: https://www.econbiz.de/10010849591

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