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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

those statistics are obtained for dynamic one-and two-equation models. The results illustrate the value of asymptotic theory …

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

are illustrated by several analytical models, including static and dynamic models, and single-equation and multiple …-equation models. Empirical models of the U.S. trade account, U.K. inflation, and U.K. real national income help clarify the issues …

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 … the properties of utility maximization and does not treat trade elasticities as autonomous parameters. Pricing behaves …-1987. According to the evidence, treating trade elasticities as autonomous parameters and ignoring the statistical implications of …

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

factor restrictions must hold if the scheme is to work properly in small models estimated using time-aggregated data. The … paper illustrates possible consequences of failure of these assumptions using bivariate models to identify aggregate supply …

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

use in the computer simulation of linear continuous time rational expectations models using any combination of anticipated …

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

Post-simulation analysis of Monte Carlo experiments: interpreting Pesaran's (1974) study of non-nested hypothesis test statistics

Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 1986

"Monte Carlo experimentation in econometrics helps 'solve' deterministic problems by simulating stochastic analogues in … which the analytical unknowns are reformulated as parameters to be estimated." (Hendry (1980) With that in mind, Monte Carlo …

Persistent link: https://www.econbiz.de/10005368405