Showing 1 - 10 of 18
We analyze economies with indivisible commodities. There are two reasons for doing so. First, we extend and provide new insights into sunspot equilibrium theory. Finite competitive economies with perfect markets and convex consumption sets do not allow sunspot equilibria; these same economies...
Persistent link: https://www.econbiz.de/10005367640
The founding fathers of the Econometric Society defined econometrics to be quantitative economic theory. A vision of … theirs was the use of econometrics to provide quantitative answers to business cycle questions. The realization of this dream …
Persistent link: https://www.econbiz.de/10005367701
We propose and evaluate an explicit test of the null hypothesis of no difference in the accuracy of two competing forecasts. In contrast to previously developed tests, a wide variety of accuracy measures can be used (in particular, the loss function need not be quadratic, and need not even be...
Persistent link: https://www.econbiz.de/10005372803
root econometrics. Unit root hypotheses are less well connected to economic theory than is often suggested or assumed …
Persistent link: https://www.econbiz.de/10005372830
The state vector in the innovation representation is asymptotically the most efficient instrumental variable estimator for the observation matrix C. The paper compares small sample properties of IV estimators for C, the dynamic matrix A and other matrices with the system theoretic estimators...
Persistent link: https://www.econbiz.de/10005372840
This paper is a comment on P.C.B. Phillips, “To criticise the critics: an objective Bayesian analysis of stochastic trends” [Phillips (1990)]. Departing from the likelihood of an univariate autoregressive model different routes that lead to a posterior odds analysis of the unit root...
Persistent link: https://www.econbiz.de/10005372852
The reduced rank regression model arises repeatedly in theoretical and applied econometrics. To date the only general …
Persistent link: https://www.econbiz.de/10005726735
The common approach to evaluating a model in the structural VAR literature is to compare the impulse responses from structural VARs run on the data to the theoretical impulse responses from the model. The Sims-Cogley-Nason approach instead compares the structural VARs run on the data to...
Persistent link: https://www.econbiz.de/10005712292
This paper surveys the fundamental principles of subjective Bayesian inference in econometrics and the implementation …
Persistent link: https://www.econbiz.de/10005712301
Persistent link: https://www.econbiz.de/10005712310