Showing 1 - 10 of 269
This paper uses an econometric model and Bayesian estimation to reverse engineer the path of inflation expectations implied by the New Keynesian Phillips Curve and the data. The estimated expectations roughly track the patterns of a number of common measures of expected inflation available from...
Persistent link: https://www.econbiz.de/10011995207
In this paper, we borrow some of the key concepts of nonequilibrium statistical systems, to develop a framework for analyzing a self-organizing-optimizing system of independent interacting agents, with nonlinear dynamics at the macro level that is based on stochastic individual behavior at the...
Persistent link: https://www.econbiz.de/10011995232
The prototypical Lee-Carter mortality model is characterized by a single common time factor that loads differently across age groups. In this paper, we propose a parametric factor model for the term structure of mortality where multiple factors are designed to influence the age groups...
Persistent link: https://www.econbiz.de/10012696224
In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show...
Persistent link: https://www.econbiz.de/10011755267
It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that...
Persistent link: https://www.econbiz.de/10011755279
In this paper, we consider the question and present evidence as to whether or not Benford's exponential first significant digit (FSD) law reflects a fundamental principle behind the complex and nondeterministic nature of large-scale physical and behavioral systems. As a behavioral example, we...
Persistent link: https://www.econbiz.de/10011755306
A distance between pairs of sets of autoregressive moving average (ARMA) processes is proposed. Its main properties are discussed. The paper also shows how the proposed distance finds application in time series analysis. In particular it can be used to evaluate the distance between portfolios of...
Persistent link: https://www.econbiz.de/10011755338
In this paper, we suggest an approach to recovering behavior-related, preference-choice network information from observational data. We model the process as a self-organized behavior based random exponential network-graph system. To address the unknown nature of the sampling model in recovering...
Persistent link: https://www.econbiz.de/10011755342
This paper discusses two alternative two-part models for fractional response variables that are defined as ratios of integers. The first two-part model assumes a Binomial distribution and known group size. It nests the one-part fractional response model proposed by Papke and Wooldridge (1996)...
Persistent link: https://www.econbiz.de/10010945729
Although economic processes and systems are in general simple in nature, the underlying dynamics are complicated and seldom understood. Recognizing this, in this paper we use a nonstationary-conditional Markov process model of observed aggregate data to learn about and recover causal influence...
Persistent link: https://www.econbiz.de/10011211017