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Solutions-driven specification of DSGE models

Blasques, Francisco - 2013

Persistent link: https://www.econbiz.de/10010191405

Bayesian analysis of instrumental variable models : the potential of direct Monte Carlo

Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - 2012

Persistent link: https://www.econbiz.de/10010191002

Bayesian analysis of instrumental variable models : acceptance-rejection within direct Monte Carlo

Zellner, Arnold; Ando, Tomohiro; Baştürk, Nalan; … - 2012

Persistent link: https://www.econbiz.de/10009722969

Estimation of linear models from coarsened observations : a method of moments approach

Praag, Bernard M. S. van; Hop, J. Peter; Greene, William - 2024

(GMM), circumvents this multivariate integration problem. The method is based on the assumed zero correlations between … multivariate normal. It can be implemented by repeated application of standard techniques. GMM provides a simpler and faster …

Persistent link: https://www.econbiz.de/10015149529

Weighted-average least squares estimation of generalized linear models

De Luca, Giuseppe; Magnus, Jan R.; Peracchi, Franco - 2017

linear models (GLMs). We study the large-sample properties of the WALS estimator for GLMs under a local misspecification …

Persistent link: https://www.econbiz.de/10011607975

On the ambiguous consequences of omitting variables

De Luca, Giuseppe; Magnus, Jan R.; Peracchi, Franco - 2015

and mean squared error comparisons and study the dependence of the differences on the misspecification parameter. …

Persistent link: https://www.econbiz.de/10010532602

Likelihood-based cointegration analysis in panels of vector error correction models

Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999

We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...

Persistent link: https://www.econbiz.de/10011302148

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10011373822

Misspecification in linear spatial regression models

Florax, Raymond J. G. M.; Nijkamp, Peter - 2003

effects. The multidimensionality of spatial effects calls for misspecification tests and estimators that are notably different … review tools for exploratory spatial data analysis and misspecification tests for spatial effects in linear regress …

Persistent link: https://www.econbiz.de/10011334352

Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks

Joseph, Agnes S.; Kiviet, J. F. - 2004

We examine the asymptotic efficiency of OLS and IV estimators in a simple dynamic structural model with a constant and two explanatory variables: the lagged dependent variable and an explanatory variable, which is also autoregressive and may include lagged or instantaneous feedbacks from the...

Persistent link: https://www.econbiz.de/10011335214