Showing 1 - 10 of 12
This paper specifies a general set of conditions under which the impacts of a policy can be identified using data generated under a different policy regime. We show that some of the policy impacts can be identified under relatively weak conditions on the data and structure of a model. Based on...
Persistent link: https://www.econbiz.de/10012471035
This paper is an expository review of recently developed techniques that are designed to evaluate macroeconomic policy using econometric models ; The exposition focuses on dynamic stochastic models with rational expectations and with discrete time. The method of undetermined coefficients is used...
Persistent link: https://www.econbiz.de/10012477601
The paper reviews recent developments in macroeconomic theory and their implications for econometric modelling and for policy design. The following issues are addressed. 1) The theoretical and practical problems of modelling sequence economies. 2) Problems of evaluating the role of money given...
Persistent link: https://www.econbiz.de/10012478436
Volatility has been one of the most active areas of research in empirical finance and time series econometrics during the past decade. This chapter provides a unified continuous-time, frictionless, no-arbitrage framework for systematically categorizing the various volatility concepts,...
Persistent link: https://www.econbiz.de/10012469613
We propose a measure of predictability based on the ratio of the expected loss of a short-run forecast to the expected loss of a long-run forecast. This predictability measure can be tailored to the forecast horizons of interest, and it allows for general loss functions, univariate or...
Persistent link: https://www.econbiz.de/10012472693
This paper shows how to generate the joint distribution of correlated random variables with specified marginal distributions. For cases where the marginal distributions are either normal or lognormal, it shows how to calculate analytically the correlation of the underlying normal distributions...
Persistent link: https://www.econbiz.de/10012473293
This paper considers the use of instrumental variables to estimate the mean effect of treatment on the treated. It reviews previous work on this topic by Heckman and Robb (1985, 1986) and demonstrates that (a) unless the effect of treatment is the same for everyone (conditional on observables),...
Persistent link: https://www.econbiz.de/10012473631
Recently there has been a great deal of interest in modeling volatility fluctuations. ARCH models, for example, provide parsimonious approximations to volatility dynamics. Here we provide a selective amount of certain aspects of conditional volatility modeling that are of particular relevance in...
Persistent link: https://www.econbiz.de/10012473891
This paper considers the statistical and economic justification for one widely-used method of adjusting data from social experiments to account for dropping-out behavior due to Bloom (1984). We generalize the method to apply to distributions not just means, and present tests of the key...
Persistent link: https://www.econbiz.de/10012474066
This paper demonstrates that even under ideal conditions, social experiments in general only uniquely determine the mean impacts of programs but not the median or the distribution of program impacts. The conventional common parameter evaluation model widely used in econometrics is one case where...
Persistent link: https://www.econbiz.de/10012474330