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Maximum Likelihood Estimation of Dynamic Stochastic Theories with an Application to New Keynesian Pricing

Kurmann, André - EconWPA - 2004

This paper proposes a novel Maximum Likelihood (ML) strategy to estimate Euler equations implied by dynamic stochastic theories. The strategy exploits rational expectations cross-equation restrictions, but circumvents the problem of multiple solutions that arises in Sargent's (1979) original...

Persistent link: https://www.econbiz.de/10005412787

Inference on a Structural Parameter in Instrumental Variables Regression with Weak Instruments

Wang, Jiahui; Zivot, Eric - EconWPA - 1996

In this paper we consider the problem of making inference on a structural parameter in instrumental variables regression when the instruments are only weakly correlated with the endogenous explanatory variables. Adopting a local-to-zero assumption as in Staiger and Stock (1994) on the...

Persistent link: https://www.econbiz.de/10005556384

A Genetic Algorithm for the Structural Estimation of Games with Multiple Equilibria

Aguirregabiria, Victor; Mira, Pedro - EconWPA - 2005

This paper proposes an algorithm to obtain maximum likelihood estimates of structural parameters in discrete games with multiple equilibria. The method combines a genetic algorithm (GA) with a pseudo maximum likelihood (PML) procedure. The GA searches efficiently over the huge space of possible...

Persistent link: https://www.econbiz.de/10005119090

Lobbying, Information Transmission, and Unequal Representation

Lagerlof, Johan; Frisell, Lars - EconWPA - 2004

We study the effects of unequal representation in the interest-group system on the degree of information transmission between a lobbyist and a policymaker. Employing a dynamic cheap-talk model in which the lobbyist cares instrumentally about his reputation for truthtelling, we show that the...

Persistent link: https://www.econbiz.de/10005076613

Output Changes and Inflationary Bias in Transition

Filer, Randall K.; Hanousek, Jan - EconWPA - 2001

. Reasonable estimates of the size of the inflationary bias in the Czech Republic suggest that conventionally reported declines in …

Persistent link: https://www.econbiz.de/10005126136

Monetary Policy Shifts, Indeterminacy and Inflation Dynamics

Surico, Paolo - EconWPA - 2005

The New-Keynesian Phillips curve plays a central role in modern macroeconomic theory. A vast empirical literature has estimated this structural relationship over various postwar full-samples. While it is well know that in a New-Keynesian model a weak central bank response to inflation generates...

Persistent link: https://www.econbiz.de/10005126312

Biais cognitifs, asymétrie d’information et formation des prix

Kaestner, Michael - EconWPA - 2005

/or failing to assess correctly the quality of their private signal. We evaluate the impact of the considered bias on the …

Persistent link: https://www.econbiz.de/10005134796

Publication Bias Against Null Results

Hubbard, Raymond; Armstrong, JS - EconWPA - 2005

Studies suggest a bias against the publication of null (p > .05) results. Instead of significance, we advocate …

Persistent link: https://www.econbiz.de/10005062675

HOW ACCURATE ARE THE SWEDISH FORECASTERS ON GDP-GROWTH,CPI- INFLATION AND UNEMPLOYMENT? (1993-2001)

Barot, Bharat - EconWPA - 2005

, the root mean square error, bias and finally directional accuracy. The forecasts are even compared to naive random walk … by the naive random walk model. Tests of bias indicate that the Swedish forecasters underestimate GDP-growth and …, root mean square error, directional accuracy, bias, revisions, final respective preliminary outcomes, Theil index, naïve …

Persistent link: https://www.econbiz.de/10005412654

Lobbying, Information Transmission, and Unequal Representation

Lagerlof, Johan; Frisell, Lars - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005413244