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Solution and Estimation Methods for DSGE Models
Fernández-Villaverde, Jesús - 2016
This paper provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium (DSGE) models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field
Persistent link: https://www.econbiz.de/10013001766
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Log-Linear Approximation Versus an Exact Solution at the ZLB in the New Keynesian Model
Eggertsson, Gauti B. - 2016
How accurate is a log-linear approximation of the New Keynesian model when the nominal interest rate is bounded by zero? This paper compares the solution of the exact non-linear model to the log-linear approximation. It finds that the difference is modest. This applies even for extreme events in...
Persistent link: https://www.econbiz.de/10012980188
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The Technological Elements of Artificial Intelligence
Taddy, Matthew Alan - 2018
We have seen in the past decade a sharp increase in the extent that companies use data to optimize their businesses. Variously called the `Big Data' or `Data Science' revolution, this has been characterized by massive amounts of data, including unstructured and nontraditional data like text and...
Persistent link: https://www.econbiz.de/10012918102
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Selecting Directors Using Machine Learning
Erel, Isil - 2018
Can algorithms assist firms in their decisions on nominating corporate directors? We construct algorithms to make out-of-sample predictions of director performance. Tests of the quality of these predictions show that directors predicted to do poorly indeed do poorly compared to a realistic pool...
Persistent link: https://www.econbiz.de/10012923716
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A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series
Stock, James H.; Watson, Mark W. - 2021
A forecasting comparison is undertaken in which 49 univariate forecasting methods, plus various forecast pooling procedures, are used to forecast 215 U.S. monthly macroeconomic time series at three forecasting horizons over the period 1959 - 1996. All forecasts simulate real time implementation,...
Persistent link: https://www.econbiz.de/10013218715
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Using Neural Data to Test a Theory of Investor Behavior : An Application to Realization Utility
Frydman, Cary - 2015
We use measures of neural activity provided by functional magnetic resonance imaging (fMRI) to test the "realization utility" theory of investor behavior, which posits that people derive utility directly from the act of realizing gains and losses. Subjects traded stocks in an experimental market...
Persistent link: https://www.econbiz.de/10013036251
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A New Control Function Approach for Non-Parametric Regressions with Endogenous Variables
Kim, Kyoo il - 2011
When the endogenous variable enters the structural equation non-parametrically the linear Instrumental Variable (IV) estimator is no longer consistent. Non-parametric IV (NPIV) can be used but it requires one to impose restrictions during estimation to make the problem well-posed. The...
Persistent link: https://www.econbiz.de/10013131512
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Multivariate Fractional Regression Estimation of Econometric Share Models
Mullahy, John - 2010
This paper describes and applies econometric strategies for estimating regression models of economic share data … on the conditional mean structures of such data. The paper proposes an extension of the fractional regression methodology … econometric strategies for share model estimation. The paper then goes on to discuss the univariate fractional regression …
Persistent link: https://www.econbiz.de/10013138354
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Heaping-Induced Bias in Regression-Discontinuity Designs
Barreca, Alan I. - 2011
This study uses Monte Carlo simulations to demonstrate that regression-discontinuity designs arrive at biased estimates …
Persistent link: https://www.econbiz.de/10013120302
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Improving Risk Equalization with Constrained Regression
van Kleef, Richard C. - 2015
constraints can be worth the costs. Constrained regression adds a tool for developing risk equalization models that can improve …
Persistent link: https://www.econbiz.de/10013015100