The paper proposes a method that solves the non-monotonic power problem of a family of structural changes in mean tests based on an orthonormal series filtering of the error process before estimating variance of the test statistics. This method yields a consistent estimator for the variance...

We have developed an agent-based computational model, extension of an analytical model1 that studies the structure of coalitions of B-to-C web sites, when Internet buyers incur search costs for finding the good that matches their preferences, and coalitions of sites reduce this cost through...

Finance models of the term structure of interest rates have for a long time relied on unobserved factors as explanatory variables. In a seminal paper, Ang and Piazzesi (2003) have examined the potential role of macroeconomic variables in explaining the term structure. They, and subsequent...

This paper estimates a standard version of the New Keynesian Monetary Model (NKM) augmented with the term structure in order to analyze two types of issue. First we analyse the relative importance of policy inertia, persistent policy shocks and the term spread in the estimated US monetary policy...

This paper provides formulae for computing perturbation method approximations of unconditional variances of variables in nonlinear DSGE models. Spurious higher order terms that creep into multi-step ahead forecasts can produce explosive time paths frustrating traditional approaches to estimating...

The Local Scale Model of Shephard (1994) is a state-space model of volatility clustering similar in effect to IGARCH, but with an unobserved volatility that realistically evolves independently of the observed errors, instead of being mechanically determined by them. It has one fewer parameter to...

In impulse response analysis the construction of intervals for the response at a particular time is a familiar topic. This paper considers the construction of confidence bands for the path of reponses. It investigates the feasibility of procedures based on heuristic optimisation methods for...

We show how datasets on heterogeneous individuals, making discrete supply and demand decisions, can be rigorously linked/aggregated into an applied GE model. We illustrate this on labor supply in an OLG model in an ageing context

Frech-Ginsburg showed that medical insurance reimbursement systems with certain price-control characteristics cause chronic price inflation. We construct a three-party market in which Experts, Non-Experts and Insurers negotiate with each other for services, insurance coverage and cash in such a...

This paper characterizes the optimal long-run rate of inflation, consistent with an occasionally binding zero lower bound on nominal interest rates, in a stochastic New Keynesian sticky-price model calibrated to the U.S. economy. This may serve to inform discussions on the design of an...