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A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models
Inoue, Atsushi; Solon, Gary - 2021
We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as …
Persistent link: https://www.econbiz.de/10013229087
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Identification with Imperfect Instruments
Nevo, Aviv; Rosen, Adam M. - 2021
instrumental variables that are assumed to be uncorrelated with unobservables. We instead assume (i) the correlation between the … instrument and the error term has the same sign as the correlation between the endogenous regressor and the error term, and (ii …
Persistent link: https://www.econbiz.de/10013311948
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Microeconomic Origins of Macroeconomic Tail Risks
Acemoglu, Daron - 2015
We document that even though the normal distribution provides a good approximation to GDP fluctuations, it severely underpredicts “macroeconomic tail risks,” that is, the frequency of large economic downturns. Using a multi-sector general equilibrium model, we show that the interplay of...
Persistent link: https://www.econbiz.de/10013030060
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Combining Matching and Synthetic Control to Trade Off Biases from Extrapolation and Interpolation
Kellogg, Maxwell - 2020
The synthetic control method is widely used in comparative case studies to adjust for differences in pre-treatment characteristics. A major attraction of the method is that it limits extrapolation bias that can occur when untreated units with different pre-treatment characteristics are combined...
Persistent link: https://www.econbiz.de/10012844744
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Sequential Monte Carlo Sampling for DSGE Models
Herbst, Edward - 2013
We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models, wherein a particle approximation to the posterior is built iteratively through tempering the likelihood. Using three examples consisting of an artificial state-space...
Persistent link: https://www.econbiz.de/10013080203
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DSGE Models in a Data-Rich Environment
Boivin, Jean - 2011
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However,...
Persistent link: https://www.econbiz.de/10013118075
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DSGE Models in a Data-Rich Environment
Boivin, Jean - 2012
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However,...
Persistent link: https://www.econbiz.de/10013106021
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DSGE Models in a Data-Rich Environment
Boivin, Jean - 2007
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However,...
Persistent link: https://www.econbiz.de/10012778086
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International Risk Sharing in the Short Run and in the Long Run
Baxter, Marianne - 2011
International risk-sharing has far-reaching implications both for economic policy and for basic research in economics. When countries do not share risk, individuals in those countries experience fluctuations in their consumption levels that are undesirable and possibly unnecessary. This paper...
Persistent link: https://www.econbiz.de/10013129220
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On the Correlation Structure of Microstructure Noise : A Financial Economic Approach
Diebold, Francis X. - 2010
We introduce the financial economics of market microstructure into the financial econometrics of asset return … volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation …
Persistent link: https://www.econbiz.de/10013137011