This note presents a simple method for estimating the state vector of linearized DSGE models without using the Kalman filter. The conditional covariance matrix of the state vector is also derived. The method can easily cope with filtered data, and with arbitrary patterns of missing observations.

We introduce an envelope condition method (ECM) for solving dynamic programming problems. The ECM method is simple to implement, dominates conventional value function iteration and is comparable in accuracy and cost to Carroll’s (2005) endogenous grid method. Codes are available.

We analyze a strategic trading model where an overconfident insider is required to publicly disclose his trades after the fact. We find the more confident insider is more concerned about the effect the initial trading has on the future.

In recent years models with a nested constant elasticity of substitution utility function and heterogeneous firms involved in some form of competition have become popular in the international trade literature. This paper considers one particular model of this class — with firms competing in...

A simple Monte Carlo calibration approach is implemented in a GE model with uninsurable employment risk to quantitatively study the optimal replacement rate of a public unemployment insurance (UI) scheme. The optimal UI sampling distribution is found to be bimodal.

In this paper we present a nonparametric approach to solving a simple one-sector stochastic growth model. A distinct advantage of our approach is that it does not require placing restrictions on the generally unknown conditional expectations functions. Our method is shown to be accurate and...

The U.S. prewar output series exhibit smaller shock-persistence than postwar-series. Some studies suggest that this may be due to linear interpolation used to generate missing prewar data. Monte Carlo simulations that support this view generate large standard-errors, making such inference...

This paper characterizes the co-movements in commodity prices with a dynamic latent factor model that decomposes commodity returns into global, sectoral, and idiosyncratic components. The results indicate that global and sectoral factors are important sources of co-movements in commodity...

We study a benchmark model with collateral constraints and heterogeneous discounting. Contrarily to a rich literature on borrowing limits, we allow for rental markets. By incorporating this missing market, we show that impatient agents choose to rent rather than to own the collateral in the...