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Song, Zhaogang; Zhu, Haoxiang - Federal Reserve Board (Board of Governors of the … - 2014

The Federal Reserve (Fed) uses a unique auction mechanism to purchase U.S. Treasury securities in implementing its … transaction prices and quantities of each traded bond in each auction, as well as dealers' identities. We find that: (1) In QE … toward more liquid bonds; (2) The auction costs are low on average: the Fed pays around 0.7 cents per $100 par value above …

Persistent link: https://www.econbiz.de/10010886228

Rational bubbles under diverse information

Yu, Dahai - Federal Reserve Board (Board of Governors of the … - 1998

This paper uses a set of post-extraction information trees to generally model diverse information and agent specific state price processes to define present and fundamental values. It shows that there can be no negative or finite bubbles and that, if agents are impatient and the aggregate...

Persistent link: https://www.econbiz.de/10005368150

Predictive regressions with panel data

Hjalmarsson, Erik - Federal Reserve Board (Board of Governors of the … - 2006

This paper analyzes panel data inference in predictive regressions with endogenous and nearly persistent regressors. The standard fixed effects estimator is shown to suffer from a second order bias; analytical results, as well as Monte Carlo evidence, show that the bias and resulting size...

Persistent link: https://www.econbiz.de/10005368156

Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses

Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 1987

Using recently developed Monte Carlo methodology, this paper investigates the effect of dynamics and simultaneity on the finite sample properties of maximum likelihood and instrumental variables statistics for testing both nested and non-nested hypotheses. Numerical-analytical approximations...

Persistent link: https://www.econbiz.de/10005368195

Inferences from parametric and non-parametric covariance matrix estimation procedures

Haan, Wouter J. den; Levin, Andrew T. - Federal Reserve Board (Board of Governors of the … - 1995

We propose a parametric spectral estimation procedure for contructing heteroskedasticity and autocorrelation consistent (HAC) covariance matrices. We establish the consistency of this procedure under very general conditions similar to those considered in previous research. We also perform Monte...

Persistent link: https://www.econbiz.de/10005368227

Detecting lack of identification in GMM

Wright, Jonathan H. - Federal Reserve Board (Board of Governors of the … - 2000

In the standard linear instrumental variables regression model, it must be assumed that the instruments are correlated with the endogenous variables in order to ensure the consistency and asymptotic normality of the usual instrumental variables estimator. Indeed, if the instruments are only...

Persistent link: https://www.econbiz.de/10005368246

Predictable uncertainty in economic forecasting

Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 2000

This paper provides an introduction to predictable forecast uncertainty in empirical economic modelling. The sources of both predictable and unpredictable forecast uncertainty are categorized. Key features of predictable forecast uncertainty are illustrated by several analytical models,...

Persistent link: https://www.econbiz.de/10005368311

The econometrics of elasticities or the elasticity of econometrics: an empirical analysis of the behavior of U.S. imports

Marquez, Jaime - Federal Reserve Board (Board of Governors of the … - 1991

Fifty years of econometric modeling of U.S. import demand assumes that trade elasticities are autonomous parameters, that both cross-price effects and simultaneity biases are absent, and that expenditures on domestic and foreign goods can be studied independently of each other. To relax these...

Persistent link: https://www.econbiz.de/10005368332

When do long-run identifying restrictions give reliable results?

Faust, Jon; Leeper, Eric M. - Federal Reserve Board (Board of Governors of the … - 1994

Many recent papers have tried to identify behavioral disturbances in vector autoregressions (VAR's) by imposing restrictions on the long-run effects of shocks. This paper argues that this approach will support reliable structured inferences only if the underlying economy satisfies strong...

Persistent link: https://www.econbiz.de/10005368342

A method for solving systems of first order linear homogeneous differential equations when the elements of the forcing vector are modelled as step functions

Johnson, Robert A. - Federal Reserve Board (Board of Governors of the … - 1986

This paper presents a method for solving a system of first order linear differential equations with constant coefficients when the elements of the forcing vector are step functions. The analysis presented in the text has been programmed for use in the computer simulation of linear continuous...

Persistent link: https://www.econbiz.de/10005368404