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Unit Root Tests Are Useful for Selecting Forecasting Models

Diebold, Francis X. - 1999

We study the usefulness of root tests as diagnostic tools for selecting forecasting models. Difference stationary and trend stationary models of economic and financial time series often imply very different predictions, so deciding which model to use is tremendously important for applied...

Persistent link: https://www.econbiz.de/10012471879

Predicting Insurance Demand from Risk Attitudes

Jaspersen, Johannes G. - 2019

Can measured risk attitudes and associated structural models predict insurance demand? In an experiment (n = 1,730), we … parameterize seventeen common structural models (e.g., expected utility, cumulative prospect theory). Subjects also make twelve …

Persistent link: https://www.econbiz.de/10012480452

Seasonal Adjustment with Measurement Error Present

Hausman, Jerry A. - 1983

Seasonal adjustment procedures attempt to estimate the sample realizations of an unobservable economic time series in the presence of both seasonal factors and irregular factors. In this paper we consider a factor which has not been considered explicitly in previous treatments of seasonal...

Persistent link: https://www.econbiz.de/10012477969

Why You Should Never Use the Hodrick-Prescott Filter

Hamilton, James D. - 2017

Here's why. (1) The HP filter produces series with spurious dynamic relations that have no basis in the underlying data-generating process. (2) Filtered values at the end of the sample are very different from those in the middle, and are also characterized by spurious dynamics. (3) A statistical...

Persistent link: https://www.econbiz.de/10012455252

Risks for the Long Run : A Potential Resolution of Asset Pricing Puzzles

Bansal, Ravi - 2000

We model dividend and consumption growth rates as containing a small long-run predictable component and economic uncertainty (i.e., growth rate volatility) as being time-varying. The magnitudes of the predictable variation and changing volatility in growth rates, as in the data, are quite small....

Persistent link: https://www.econbiz.de/10012470673

Continuous-Time Linear Models

Cochrane, John H. - 2012

I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas

Persistent link: https://www.econbiz.de/10012460479

The Subprime Crisis and House Price Appreciation

Goetzmann, William N. - 2009

substantiates both supply and demand effects of past price trends in housing markets, particularly with respect to subprime mortgage …-loan collateral values may have affected both the demand and the supply of mortgages. Standard time series models using repeat …

Persistent link: https://www.econbiz.de/10012463316

How Well Do Structural Demand Models Work? Counterfactual Predictions in School Choice

Pathak, Parag A. - 2017

Discrete choice demand models are widely used for counterfactual policy simulations, yet their out … choice models of school demand. In 2013, Boston Public Schools considered several new choice plans that differ in where …, suggesting that the choice models are indeed "structural." Our findings show that structural demand models can effectively …

Persistent link: https://www.econbiz.de/10012453696

Demand Modeling, Forecasting, and Counterfactuals, Part I

Pathak, Parag A. - 2014

discrete choice models of demand compared to simpler alternatives. In 2013, Boston Public Schools (BPS) proposed alternative …. Pathak and Shi (2013) estimated discrete choice models of demand using families' historical choices and these demand models … of discrete choice models of demand in our context …

Persistent link: https://www.econbiz.de/10012458802

The Dynamic Demand for Capital and Labor

Shapiro, Matthew D. - 1986

A model of the dynamically interrelated demand for capital and labor is specified and estimated. The estimates are of … slow rates of adjustment displayed in other, related estimates of the demand for capital. Because adjustment is estimated …

Persistent link: https://www.econbiz.de/10012477176

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