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Assessing DSGE Model Nonlinearities
Aruoba, S. Boragan; Schorfheide, Frank; Bocola, Luigi - National Bureau of Economic Research (NBER) - 2013
We develop a new class of nonlinear time-series models to identify nonlinearities in the data and to evaluate nonlinear DSGE models. U.S. output growth and the federal funds rate display nonlinear conditional mean dynamics, while inflation and nominal wage growth feature conditional...
Persistent link: https://www.econbiz.de/10010969293
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Estimating Turning Points Using Large Data Sets
Stock, James H.; Watson, Mark W. - National Bureau of Economic Research (NBER) - 2010
Dating business cycles entails ascertaining economy-wide turning points. Broadly speaking, there are two approaches in the literature. The first approach, which dates to Burns and Mitchell (1946), is to identify turning points individually in a large number of series, then to look for a common...
Persistent link: https://www.econbiz.de/10008727872
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DSGE Models in a Data-Rich Environment
Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However,...
Persistent link: https://www.econbiz.de/10005714295
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Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset
Faust, Jon; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2007
Many recent papers have found that atheoretical forecasting methods using many predictors give better predictions for key macroeconomic variables than various small-model methods. The practical relevance of these results is open to question, however, because these papers generally use ex post...
Persistent link: https://www.econbiz.de/10005828664
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Small Noise Asymptotics for a Stochastic Growth Model
Williams, Noah - National Bureau of Economic Research (NBER) - 2003
We develop analytic asymptotic methods to characterize time series properties of nonlinear dynamic stochastic models. We focus on a stochastic growth model which is representative of the models underlying much of modern macroeconomics. Taking limits as the stochastic shocks become small, we...
Persistent link: https://www.econbiz.de/10005828710
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Sectoral vs. Aggregate Shocks: A Structural Factor Analysis of Industrial Production
Sarte, Pierre Daniel; Watson, Mark W.; Foerster, Andrew T. - National Bureau of Economic Research (NBER) - 2008
This paper uses factor analytic methods to decompose industrial production (IP) into components arising from aggregate shocks and idiosyncratic sector-specific shocks. An approximate factor model finds that nearly all (90%) of the variability of quarterly growth rates in IP are associated with...
Persistent link: https://www.econbiz.de/10005830067
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How to Advance Theory with Structural VARs: Use the Sims-Cogley-Nason Approach
Kehoe, Patrick J. - National Bureau of Economic Research (NBER) - 2006
root of the problems in the SVAR literature. In practice, the problems can be solved simply. Switching from the common …
Persistent link: https://www.econbiz.de/10005774407
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Global Business Cycles: Convergence or Decoupling?
Kose, Ayhan; Otrok, Christopher; Prasad, Eswar - National Bureau of Economic Research (NBER) - 2008
This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups -- industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose...
Persistent link: https://www.econbiz.de/10005777599
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DSGE Models in a Data-Rich Environment
Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However,...
Persistent link: https://www.econbiz.de/10005779020
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Are Structural VARs with Long-Run Restrictions Useful in Developing Business Cycle Theory?
Chari, Varadarajan; Kehoe, Patrick J.; McGrattan, Ellen R. - National Bureau of Economic Research (NBER) - 2008
The central finding of the recent structural vector autoregression (SVAR) literature with a differenced specification … business cycle models are unpromising. We subject this SVAR specification to a natural economic test by showing that when … cycle models and sticky price models. The crux of the problem for both SVAR specifications is that available data …
Persistent link: https://www.econbiz.de/10005089012