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Infinite Dimensional VARs and Factor Models
Chudik, Alexander; Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2007
dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …
Persistent link: https://www.econbiz.de/10005763451
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The Subjective Inflation Expectations of Households and Firms: Measurement, Determinants, and Implications
Weber, Michael; D’Acunto, Francesco; Gorodnichenko, Yuriy - 2022
Households' and firms' subjective inflation expectations play a central role in macroeconomic and intertemporal microeconomic models. We discuss how subjective inflation expectations are measured, the patterns they display, their determinants, and how they shape households' and firms' economic...
Persistent link: https://www.econbiz.de/10013351930
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Deriving the New Quantity Equation: An Approach for a Closed and an Open Economy
Welfens, Paul J. J. - 2014
This theoretical contribution shows a simple way in which the quantity equation can be derived as a long-term equilibrium solution for the case of a closed economy and an open economy, respectively. It is shown first for the case of a closed economy which parameters stand behind "velocity" and...
Persistent link: https://www.econbiz.de/10010398364
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Labor Search and Matching in Macroeconomics
Yashiv, Eran - Institute for the Study of Labor (IZA) - 2007
The labor search and matching model plays a growing role in macroeconomic analysis. This paper provides a critical, selective survey of the literature. Four fundamental questions are explored: how are unemployment, job vacancies, and employment determined as equilibrium phenomena? What...
Persistent link: https://www.econbiz.de/10005822179
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Deriving the New Quantity Equation: An Approach for a Closed and an Open Economy
Welfens, Paul J. J. - Institute for the Study of Labor (IZA) - 2014
This theoretical contribution shows a simple way in which the quantity equation can be derived as a long-term equilibrium solution for the case of a closed economy and an open economy, respectively. It is shown first for the case of a closed economy which parameters stand behind "velocity" and...
Persistent link: https://www.econbiz.de/10010891175
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Dependence Measures in Bivariate Gamma Frailty Models
van den Berg, Gerard J.; Effraimidis, Georgios - 2014
Bivariate duration data frequently arise in economics, biostatistics and other areas. In bivariate frailty models, dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this...
Persistent link: https://www.econbiz.de/10010352325
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Impact of Financial Crises on Dynamics of Capital Structure: Evidence from Korean Listed Companies
Tsoy, Lyubov; Heshmati, Almas - 2017
This study examines the impact of 1997 Asian and 2008 Global financial crises on the capital structure of Korean listed companies. Using a data set covering 1,159 Korean listed non-financial firms from 10 industrial sectors over period 1985-2015, the pattern of firms' capital structure before...
Persistent link: https://www.econbiz.de/10011653282
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Exploiting Information from Singletons in Panel Data Analysis: A GMM Approach
Bruno, Randolph Luca; Magazzini, Laura; Stampini, Marco - 2019
We propose a novel procedure, built within a Generalized Method of Moments framework, which exploits unpaired observations (singletons) to increase the efficiency of longitudinal fixed effect estimates. The approach allows increasing estimation efficiency, while properly tackling the bias due to...
Persistent link: https://www.econbiz.de/10012059195
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Infinite Dimensional VARs and Factor Models
Chudik, Alexander; Pesaran, Mohammad Hashem - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007
This paper introduces a novel approach for dealing with the curse of dimensionality in thecase of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VARare proposed that are binding only in a limit as the number of endogenous variables tends toinfinity...
Persistent link: https://www.econbiz.de/10008939752
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Dependence Measures in Bivariate Gamma Frailty Models
den Berg, Gerard J. van; Effraimidis, Georgios - Institute for the Study of Labor (IZA) - 2014
Bivariate duration data frequently arise in economics, biostatistics and other areas. In "bivariate frailty models", dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this...
Persistent link: https://www.econbiz.de/10010757340