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Assessing DSGE Model Nonlinearities
Aruoba, S. Borağan - 2013
We develop a new class of nonlinear time-series models to identify nonlinearities in the data and to evaluate nonlinear DSGE models. U.S. output growth and the federal funds rate display nonlinear conditional mean dynamics, while inflation and nominal wage growth feature conditional...
Persistent link: https://www.econbiz.de/10013071908
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The Pruned State-Space System for Non-Linear DSGE Models : Theory and Empirical Applications
Andreasen, Martin M. - 2013
estimation for DSGE models approximated up to third-order and provides the foundation for indirect inference and SMM when …
Persistent link: https://www.econbiz.de/10013083081
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The Phillips Curve is Back? Using Panel Data to Analyze the Relationship between Unemployment and Inflation in an Open Economy
DiNardo, John E.; Moore, Mark - 2022
panel data to estimate the textbook 'expectations augmented' Phillips curve with a market-based and observable measure of …
Persistent link: https://www.econbiz.de/10013292577
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Inappropriate Pooling of Wealthy and Poor Countries in Empirical FDI Studies
Blonigen, Bruce A.; Wang, Miao - 2021
This paper examines the question of whether less-developed countries' (LDCs') experiences with foreign direct investment (FDI) systematically different from those of developed countries (DCs). We do this by examining three types of empirical FDI studies that typically do not distinguish between...
Persistent link: https://www.econbiz.de/10013228764
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Multiple Time-Serie3 Models Applied to Panel Data
MaCurdy, Thomas E. - 2021
This study presents a general methodology for fitting multiple time series models to panel data. The basic statistical … panel data, and it identifies those instances in which procedures found in the time series literature cannot be directly … applied to analyze longitudinal data. Data analysis techniques in the tine series literature are adapted for panel data …
Persistent link: https://www.econbiz.de/10013234388
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Panel Data Hedonics : Rosen's First Stage as a "Sufficient Statistic"
Banzhaf, H. Spencer - 2015
characteristics, but face endogeneity problems for estimating non-marginal welfare measures. I show that when panel data on household …
Persistent link: https://www.econbiz.de/10013017083
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Estimating Distributed Lags in Short Panels with an Application to the Specification of Depreciation Patterns and Capital Stock Constructs
Pakes, Ariel; Griliches, Zvi - 2021
distributed lag relationships based on single time-series of observations have been usually rather imprecise. The promise of panel … which are, at least in part, testable, and outline appropriate estimation techniques. The first places reasonable …
Persistent link: https://www.econbiz.de/10013218833
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On the Relationship between the Conditional Mean and Volatility of Stock Returns : A Latent VAR Approach
Kang, Qiang - 2002
We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study the contemporaneous and intertemporal relationship between expected returns and risk in a flexible statistical framework and without relying on exogenous predictors. We find a...
Persistent link: https://www.econbiz.de/10012787157
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Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 2008
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...
Persistent link: https://www.econbiz.de/10012774886
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Semiparametric Estimates of Monetary Policy Effects : String Theory Revisited
Angrist, Joshua D. - 2013
We develop a flexible semiparametric time series estimator that is then used to assess the causal effect of monetary policy interventions on macroeconomic aggregates. Our estimator captures the average causal response to discrete policy interventions in a macro-dynamic setting, without the need...
Persistent link: https://www.econbiz.de/10013076979