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Spectral Based Testing of the Martingale Hypothesis

Durlauf, Steven N. - 1992

This paper proposes a method of testing whether a time series is a martingale. The procedure develops an asymptotic … theory for the shape of the spectral distribution function of the first differences. Under the null hypothesis, this shape … against particular alternatives. Application of the test to stock prices finds some evidence against the random walk theory …

Persistent link: https://www.econbiz.de/10012474938

Some Simple Bitcoin Economics

Schilling, Linda - 2018

How do Bitcoin prices evolve? What are the consequences for monetary policy? We answer these questions in a novel, yet simple endowment economy. There are two types of money, both useful for transactions: Bitcoins and Dollars. A central bank keeps the real value of Dollars constant, while...

Persistent link: https://www.econbiz.de/10012453232

Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference

Clark, Todd E. - 2005

a zero mean martingale difference against the alternative that it is linearly predictable. Under the null of no …

Persistent link: https://www.econbiz.de/10012467602

Project Appraisal and Foreign Exchange Constraints : A Simple Exposition

Blitzer, Charles R. - 1987

In an earlier paper, we showed that the value of shadow prices depends on how the government contemplates re- equilibrating the economy to the perturbation associated with any project, except in the extreme case where the government has chosen all policy instruments optimally. Only under...

Persistent link: https://www.econbiz.de/10012476904

Conditional Projection by Means of Kalman Filtering

Clarida, Richard H. - 1984

We establish that the recursive, state-space methods of Kalman filtering and smoothing can be used to implement the Doan, Litterman, and Sims (1983) approach to econometric forecast and policy evaluation. Compared with the methods outlined in Doan, Litterman, and Sims, the Kalman algorithms are...

Persistent link: https://www.econbiz.de/10012477752

The Social Cost of Labor, and Project Evaluation : A General Approach

Stiglitz, Joseph E. - 1983

This paper develops a general methodology for analyzing shadow wage (and other shadow prices). Our approach is to identify those reduced form relationships describing the economy which are central to the determination of the shadow wage, and use these to obtain simple formulae for the shadow...

Persistent link: https://www.econbiz.de/10012477868

Optimal Policy Projections

Svensson, Lars O. - 2005

We outline a method to provide advice on optimal monetary policy while taking policymakers' judgment into account. The method constructs Optimal Policy Projections (OPPs) by extracting the judgment terms that allow a model, such as the Federal Reserve Board's FRB/US model, to reproduce a...

Persistent link: https://www.econbiz.de/10012467290

Analyzing the Spectrum of Asset Returns : Jump and Volatility Components in High Frequency Data

Aït-Sahalia, Yacine - 2010

finer characteristics of these components such as the degree of activity of the jumps. We extend the existing theory to …

Persistent link: https://www.econbiz.de/10012462842

A Martingale Representation for Matching Estimators

Abadie, Alberto - 2009

article establishes a martingale representation for matching estimators. This representation allows the use of martingale … the theory, we derive the asymptotic distribution of a matching estimator when matching is carried out without replacement …

Persistent link: https://www.econbiz.de/10012463891

IR&D Project Data and Theories of R&D Investment

Lichtenberg, Frank R. - 1988

This paper analyzes data on a large sample of research and development (R&D) projects documented in the Defense Department's Independent R&O Data Bank, both to provide some stylized facts about R&O investment at the project level and to test the implications of a control-theoretical model...

Persistent link: https://www.econbiz.de/10012476341

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