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Filtering with Limited Information
Drautzburg, Thorsten; Fernández-Villaverde, Jesús; … - National Bureau of Economic Research - 2024
We propose a new tool to filter non-linear dynamic models that does not require the researcher to specify the model fully and can be implemented without solving the model. If two conditions are satisfied, we can use a flexible statistical model and a known measurement equation to back out the...
Persistent link: https://www.econbiz.de/10014635717
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Putting Quantitative Models to the Test : An Application to Trump's Trade War
Adão, Rodrigo; Costinot, Arnaud; Donaldson, Dave - National Bureau of Economic Research - 2023
The primary motivation behind quantitative modeling in international trade and many other fields is to shed light on …
Persistent link: https://www.econbiz.de/10014322709
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Nowcasting World Trade with Machine Learning : a Three-Step Approach
Chinn, Menzie David; Meunier, Baptiste; Stumpner, Sebastian - National Bureau of Economic Research - 2023
We nowcast world trade using machine learning, distinguishing between tree-based methods (random forest, gradient boosting) and their regression-based counterparts (macroeconomic random forest, gradient linear boosting). While much less used in the literature, the latter are found to outperform...
Persistent link: https://www.econbiz.de/10014322806
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A User's Guide to Inference in Models Defined by Moment Inequalities
Canay, Ivan A.; Illanes, Gastón; Velez, Amilcar - National Bureau of Economic Research - 2023
Models defined by moment inequalities have become a standard modeling framework for empirical economists, spreading …
Persistent link: https://www.econbiz.de/10014247961
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Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing
Cong, Lin William; Feng, Guanhao; He, Jingyu; Li, Junye - National Bureau of Economic Research - 2023
new decision trees) and locally selects variables (with Bayesian priors) for modeling panel data with potential grouped …
Persistent link: https://www.econbiz.de/10014322811
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Complexity in Factor Pricing Models
Didisheim, Antoine; Ke, Shikun; Kelly, Bryan T.; … - National Bureau of Economic Research - 2023
We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance--in terms of SDF Sharpe ratio and test asset pricing errors--is improving in model parameterization (or "complexity"). Our empirical findings verify the...
Persistent link: https://www.econbiz.de/10014372446
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Level and Volatility Factors in Macroeconomic Data
Gorodnichenko, Yuriy - 2017
The conventional wisdom in macroeconomic modeling is to attribute business cycle fluctuations to innovations in the … understood partly because modeling the latent volatilities can be quite demanding. This paper suggests a simply methodology that … interaction between the level and second-moment dynamics …
Persistent link: https://www.econbiz.de/10012455010
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Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G. - 2012
vector that governs the option price dynamics. The estimators converge stably to a mixed-Gaussian law and we develop feasible … estimators for the limiting variance. We provide semiparametric tests for the option price dynamics based on the distance between … the stability of the risk-neutral dynamics over a given period of time. A large-scale Monte Carlo study indicates the …
Persistent link: https://www.econbiz.de/10012460613
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Evaluating the Specification Errors of Asset Pricing Models
Hodrick, Robert J. - 2000
This paper examines the specification errors of several asset pricing models using the methodology of Hansen and Jagannathan (1997) and a common data set. The models are the CAPM, the Consumption CAPM, the Jagannathan and Wang (1996) conditional CAPM, the Campbell (1996) dynamic asset pricing...
Persistent link: https://www.econbiz.de/10012471106
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Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price
Taylor, Alan M. - 2000
The PPP puzzle is based on empirical evidence that international price differences for individual goods (LOOP) or baskets of goods (PPP) appear highly persistent or even non-stationary. The present consensus is these price differences have a half-life that is of the order of five years at best,...
Persistent link: https://www.econbiz.de/10012471192