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On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling

Pooter, Michiel D. de; Segers, René; Dijk, Herman K. van - Tinbergen Institute - 2006

Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...

Persistent link: https://www.econbiz.de/10005504906

Forecasting Productivity Using Information from Firm-Level Data

Bartelsman, Eric J.; Wolf, Zoltán - Tinbergen Institute - 2009

This paper contributes to the productivity literature by using results from firm-level productivity studies to improve … forecasts of macro-level productivity growth. The paper employs current research methods on estimating firm-level productivity … to build times-series components that capture the joint dynamics of the firm-level productivity and size distributions …

Persistent link: https://www.econbiz.de/10005016264

Complete and incomplete econometric models

Geweke, John - 2010

Complete and Incomplete Econometric Models John Geweke Princeton University Press Princeton and Oxford Contents Series Editors' Introduction vii Preface ...

Persistent link: https://www.econbiz.de/10013503197

A Meta-analysis of the Price Elasticity of Gasoline Demand. A System of Equations Approach

Brons, Martijn; Nijkamp, Peter; Pels, Eric; Rietveld, Piet - Tinbergen Institute - 2006

Automobile gasoline demand can be expressed as a multiplicative function of fuel efficiency, mileage per car and car ownership. This implies a linear relationship between the price elasticity of total fuel demand and the price elasticities of fuel efficiency, mileage per car and car ownership....

Persistent link: https://www.econbiz.de/10005136935

The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations

Kiviet, Jan F.; Niemczyk, Jerzy - Tinbergen Institute - 2006

In practice structural equations are often estimated by least-squares, thus neglecting any simultaneity. This paper reveals why this may often be justifiable and when. Assuming data stationarity and existence of the first four moments of the disturbances we find the limiting distribution of the...

Persistent link: https://www.econbiz.de/10005137201

Generalized Reduced Rank Tests using the Singular Value Decomposition

Kleibergen, Frank; Paap, Richard - Tinbergen Institute - 2003

statistic of Robin and Smith [Econometric Theory (2000), 16, 151–175] usage of numerical optimization for the objective function … singular values in Ratsimalahelo [2002, Rank test based on matrix perturbation theory. Unpublished working paper, U …

Persistent link: https://www.econbiz.de/10005137340

Two Independent Pivotal Statistics that test Location and Misspecification and add up to the Anderson-Rubin Statistic

Kleibergen, Frank - Tinbergen Institute - 2002

We show that the Anderson-Rubin (AR) statistic is the sum of two independent piv- otal statistics. One statistic is a score statistic that tests location and the other statistic tests misspecification. The chi-squared distribution of the location statistic has a degrees of freedom parameter that...

Persistent link: https://www.econbiz.de/10005137350

25 Years of IIF Time Series Forecasting: A Selective Review

Gooijer, Jan G. de; Hyndman, Rob J. - Tinbergen Institute - 2005

We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers published in these...

Persistent link: https://www.econbiz.de/10005137128

The Multi-State Latent Factor Intensity Model for Credit Rating Transitions

Koopman, Siem Jan; Lucas, André; Monteiro, André - Tinbergen Institute - 2005

A new empirical reduced-form model for credit rating transitions is introduced. It is a parametric intensity-based duration model with multiple states and driven by exogenous covariates and latent dynamic factors. The model has a generalized semi-Markov structure designed to accommodate many of...

Persistent link: https://www.econbiz.de/10005137142

Quantifying the Scope for Efficiency Defense in Merger Control: The Werden-Froeb-Index

Goppelsroeder, Marie; Schinkel, Maarten Pieter; … - Tinbergen Institute - 2006

This paper introduces the Werden-Froeb Index (WFI) to assist in evaluating merger-specific efficiencies in horizontal mergers. The index measures the weighted average reduction in marginal costs required to restore pre-merger equilibrium prices and quantities after the (full or partial) merger...

Persistent link: https://www.econbiz.de/10005137169