Narrow search
Showing 1 - 10 of 6,292
Cover Image
Computing Markov Perfect Nash Equilibria : Numerical Implications of a Dynamic Differentiated Product Model
Pakes, Ariel; McGuire, Paul - 2021
This paper provides an algorithm for computing Markov Perfect Nash Equilibria (Maskin and Tirole, 1988a and b) for dynamic models that allow for heterogeneity among firms and idiosyncratic (or firm specific) sources of uncertainty. It has two purposes. To illustrate the ability of such models to...
Persistent link: https://www.econbiz.de/10013230623
Cover Image
Sources of Entropy in Representative Agent Models
Backus, David K. - 2011
preferences, habits, and jumps. The metrics describe the pricing kernel's dispersion (the entropy of the title) and dynamics (time … dependence, a measure of how entropy varies over different time horizons). We show how each model generates entropy and time … approximations -- clarifies the mechanisms underlying these models. It also reveals, in some cases, tension between entropy, which …
Persistent link: https://www.econbiz.de/10013122464
Cover Image
Behavioral Implications of Rational Inattention with Shannon Entropy
Caplin, Andrew - 2013
entropy cost functions that better match this feature of the data and that retain key simplifying features of the Shannon …
Persistent link: https://www.econbiz.de/10013077941
Cover Image
Rationally Inattentive Behavior : Characterizing and Generalizing Shannon Entropy
Caplin, Andrew - 2017
We provide a full behavioral characterization of the standard Shannon model of rational inattention. The key axiom is "Invariance under Compression", which identifies this model as capturing an ideal form of attention-constrained choice. We introduce tractable generalizations that allow for many...
Persistent link: https://www.econbiz.de/10012950055
Cover Image
Robust Standard Errors in Small Samples : Some Practical Advice
Imbens, Guido W. - 2012
In this paper we discuss the properties of confidence intervals for regression parameters based on robust standard errors. We discuss the motivation for a modification suggested by Bell and McCaffrey (2002) to improve the finite sample properties of the confidence intervals based on the...
Persistent link: https://www.econbiz.de/10013099125
Cover Image
Robust Inference with Multi-Way Clustering
Cameron, A. Colin - 2007
In this paper we propose a new variance estimator for OLS as well as for nonlinear estimators such as logit, probit and GMM, that provcides cluster-robust inference when there is two-way or multi-way clustering that is non-nested. The variance estimator extends the standard cluster-robust...
Persistent link: https://www.econbiz.de/10012778337
Cover Image
Generalized Robustness and Dynamic Pessimism
Maenhout, Pascal J.; Vedolin, Andrea; Xing, Hao - 2022
This paper develops a theory of dynamic pessimism and its impact on asset prices. Notions of time-varying pessimism … control approach of Hansen and Sargent (2001) by replacing relative entropy as a measure of discrepancy between models by the …
Persistent link: https://www.econbiz.de/10013297584
Cover Image
Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy
Onatski, Alexei; Stock, James H. - 2021
This paper examines monetary policy in Rudebusch and Svensson's (1999) two equation macroeconomic model when the policymaker recognizes that the model is an approximation and is uncertain about the quality of that approximation. It is argued that the minimax approach of robust control provides a...
Persistent link: https://www.econbiz.de/10013310544
Cover Image
Designing, Not Checking, for Policy Robustness : An Example with Optimal Taxation
Lockwood, Benjamin B; Sial, Afras Y.; Weinzierl, Matthew - 2022
Economists typically check the robustness of their results by comparing them across plausible ranges of parameter values and model structures. A preferable approach to robustness—for the purposes of policymaking and evaluation—is to design policy that takes these ranges into account. We...
Persistent link: https://www.econbiz.de/10014244253
Cover Image
Estimating Event Probabilities from Macroeconomic Models Using Stochastic Simulation
Fair, Ray C. - 2007
This paper shows how probability questions can be answered within the context of macroeconometric models by using stochastic simulation. One can estimate, for example, the probability of a recession occurring within some fixed period in the future. Probability estimates are presented for two...
Persistent link: https://www.econbiz.de/10012776706