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Onatski, Alexei - 2003

Recently there has been a great deal of interest in studying monetary policy under model uncertainty. We point out that different assumptions about the uncertainty may result in drastically different robust' policy recommendations. Therefore, we develop new methods to analyze uncertainty about...

Persistent link: https://www.econbiz.de/10012469134

Generalized Transform Analysis of Affine Processes and Applications in Finance

Chen, Hui - 2011

model of time-varying labor income risk and study the implications of stochastic covariance between labor income and … dividends for the dynamics of the risk premiums on financial wealth and human capital …

Persistent link: https://www.econbiz.de/10012461751

Second-Order Approximation of Dynamic Models with Time-Varying Risk

Benigno, Gianluca - 2010

models in which the exogenous state variables follow conditionally-linear stochastic processes displaying time-varying risk …. The first-order approximation is consistent with a conditionally-linear model in which risk is still time-varying but has … second-order approximation of the solution, instead, is sufficient to get this role. Moreover, risk premia, evaluated using …

Persistent link: https://www.econbiz.de/10012462025

Heterogeneity, Uncertainty and Learning : Semiparametric Identification and Estimation

Bunting, Jackson; Diegert, Paul; Maurel, Arnaud - National Bureau of Economic Research - 2024

We provide semiparametric identification results for a broad class of learning models in which continuous outcomes depend on three types of unobservables: i) known heterogeneity, ii) initially unknown heterogeneity that may be revealed over time, and iii) transitory uncertainty. We consider a...

Persistent link: https://www.econbiz.de/10014486255

Real-Time Multivariate Density Forecast Evaluation and Calibration : Monitoring the Risk of High-Frequency Returns on Foreign Exchange

Diebold, Francis X. - 1998

advances in financial risk management, we provide a detailed application to multivariate high-frequency exchange rate density …

Persistent link: https://www.econbiz.de/10012471967

"Peso Problem" Explanations for Term Structure Anomalies

Bekaert, Geert - 1997

We examine the empirical evidence on the expectations hypothesis of the term structure of interest rates in the United States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector-autoregressive" methodology. We argue that anomalies in the U.S. term...

Persistent link: https://www.econbiz.de/10012472666

Specification Testing in Panel Data With Instrumental Variables

Metcalf, Gilbert E. - 1996

This paper shows a convenient way to test whether instrumental variables are correlated with individual effects in a panel data set. It shows that the correlated fixed effects specification tests developed by Hausman and Taylor (1981) extend in an analogous way to panel data sets with endogenous...

Persistent link: https://www.econbiz.de/10012473246

Information Theoretic Approaches to Inference in Moment Condition Models

Imbens, Guido W. - 1995

One-step efficient GMM estimation has been developed in the recent papers of Back and Brown (1990), Imbens (1993) and Qin and Lawless (1994). These papers emphasized methods that correspond to using Owen's (1988) method of empirical likelihood to reweight the data so that the reweighted sample...

Persistent link: https://www.econbiz.de/10012473589

Split Sample Instrumental Variables

Angrist, Joshua D. - 1995

Instrumental Variables (IV) estimates tend to be biased in the same direction as Ordinary Least Squares (OLS) in finite samples if the instruments are weak. To address this problem we propose a new IV estimator which we call Split Sample Instrumental Variables (SSIV). SSIV works as follows: we...

Persistent link: https://www.econbiz.de/10012473745

Average Causal Response with Variable Treatment Intensity

Angrist, Joshua D. - 1995

In evaluation research, an average causal effect is usually defined as the expected difference between the outcomes of the treated, and what these outcomes would have been in the absence of treatment. This definition of causal effects makes sense for binary treatments only. In this paper, we...

Persistent link: https://www.econbiz.de/10012473746

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