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VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models

Giannone, Domenico; Reichlin, Lucrezia; Sala, Luca - C.E.P.R. Discussion Papers - 2002

Equilibrium business cycle models have typically less shocks than variables. As pointed out by Altug, 1989, and Sargent, 1989, if variables are measured with error, this characteristic implies that the model solution for measured variables has a factor structure. This Paper compares estimation...

Persistent link: https://www.econbiz.de/10005504708

Choosing the variables to estimate singular DSGE models

Canova, Fabio; Ferroni, Filippo; Matthes, Christian - C.E.P.R. Discussion Papers - 2013

DSGE model. The first selects the vector of observables that optimizes parameter identification; the second the vector that …

Persistent link: https://www.econbiz.de/10011083464

The Fiscal Theory of the Price Level - identification and testing for the UK in the 1970s

Fan, Jingwen; Minford, Patrick; Ou, Zhirong - C.E.P.R. Discussion Papers - 2013

the identification problem involved by setting up the FTPL as a structural model for the episode and pitting it against an …

Persistent link: https://www.econbiz.de/10011083765

Multivariate Choice and Identification of Social Interactions

Cohen-Cole, Ethan; Liu, Xiaodong; Zenou, Yves - C.E.P.R. Discussion Papers - 2012

In this paper, we investigate the impact of peers on own outcomes where all agents embedded in a network choose more than one activity. We develop a simple network model that illustrates these issues. We differentiate between the ‘seemingly unrelated’ simultaneous equations model where...

Persistent link: https://www.econbiz.de/10011083770

The role of fiscal policy in Britain's Great Inflation

Fan, Jingwen; Minford, Patrick; Ou, Zhirong - C.E.P.R. Discussion Papers - 2014

the identification problem involved by setting up the FTPL as a structural model for the episode and pitting it against an …

Persistent link: https://www.econbiz.de/10011083838

The Time for Austerity: Estimating the Average Treatment Effect of Fiscal Policy

Jordà, Òscar; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2013

-contingent framework. We achieve identification of causal effects with new propensity-score based methods for time series data. Using this …

Persistent link: https://www.econbiz.de/10011083942

Economic Science and Political Influence

Saint-Paul, Gilles - C.E.P.R. Discussion Papers - 2012

When policymakers and private agents use models, the economists who design the model have an incentive to alter it in order influence outcomes in a fashion consistent with their own preferences. I discuss some consequences of the existence of such ideological bias. In particular, I analyze the...

Persistent link: https://www.econbiz.de/10011084158

Giffen’s Good: A case of mistaken identification

Brunt, Liam - C.E.P.R. Discussion Papers - 2013

actually just mistaken identification, it is no surprise that Giffen goods are impossible to find elsewhere. Popularization of …

Persistent link: https://www.econbiz.de/10011084480

Identification and Inference Using Event Studies

Gürkaynak, Refet S.; Wright, Jonathan - C.E.P.R. Discussion Papers - 2013

We discuss the use of event studies in macroeconomics and finance, arguing that many important macro-finance questions can only be answered using event studies with high-frequency financial market data. We provide a broad picture of the use of event studies, along with their limitations. As...

Persistent link: https://www.econbiz.de/10011084634

Back to square one: identification issues in DSGE models

Canova, Fabio; Sala, Luca - C.E.P.R. Discussion Papers - 2009

We investigate identification issues in DSGE models and their consequences for parameter estimation and model … equivalence, partial and weak identification problems are widespread and typically produced by an ill-behaved mapping between the … structural parameters and the coefficients of the solution. Different objective functions affect identification and small samples …

Persistent link: https://www.econbiz.de/10004990850