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How to Solve Dynamic Stochastic Models Computing Expectations Just Once
Judd, Kenneth L. - 2011
We introduce a technique called "precomputation of integrals" that makes it possible to compute conditional expectations in dynamic stochastic models in the initial stage of the solution procedure. This technique can be applied to any set of equations that contains conditional expectations, in...
Persistent link: https://www.econbiz.de/10013119813
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Vector Multiplicative Error Models : Representation and Inference
Cipollini, Fabrizio - 2011
The Multiplicative Error Model introduced by Engle (2002) for positive valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support. In this paper we propose a multi-variate extension of such a model, by taking into...
Persistent link: https://www.econbiz.de/10013124453
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A Maximum Likelihood Method for the Incidental Parameter Problem
Moreira, Marcelo J. - 2010
This paper uses the invariance principle to solve the incidental parameter problem. We seek group actions that preserve the structural parameter and yield a maximal invariant in the parameter space with fixed dimension. M-estimation from the likelihood of the maximal invariant statistic yields...
Persistent link: https://www.econbiz.de/10012759543
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Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)
Del Negro, Marco - 2010
The paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provides a method for constructing prior distributions for a subset of these parameters from beliefs about the moments of the endogenous variables. The empirical application...
Persistent link: https://www.econbiz.de/10012759604
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Vector Multiplicative Error Models : Representation and Inference
Cipollini, Fabrizio - 2010
The Multiplicative Error Model introduced by Engle (2002) for positive valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support. In this paper we propose a multi-variate extension of such a model, by taking into...
Persistent link: https://www.econbiz.de/10012760542
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Stereotypes
Bordalo, Pedro - 2014
We present a model of stereotypes in which a decision maker assessing a group recalls only that group's most representative or distinctive types relative to other groups. Because stereotypes highlight differences between groups, and neglect likely common types, they are especially inaccurate...
Persistent link: https://www.econbiz.de/10013054042
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Optimal Automatic Stabilizers
McKay, Alisdair - 2016
Should the generosity of unemployment benefits and the progressivity of income taxes depend on the presence of business cycles? This paper proposes a tractable model where there is a role for social insurance against uninsurable shocks to income and unemployment, as well as inefficient business...
Persistent link: https://www.econbiz.de/10012988499
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Econometrics and the Design of Economic Reform
Bruno, Michael - 2010
The concept of Economic Reform is described as a planned shift from one, Pareto inefficient, but quasi-stable, equilibrium (or 'trap') to a new Pareto superior equilibrium which is, or is designed to become, stable too. The concept is applied to recent 'shock' stabilization programs, with...
Persistent link: https://www.econbiz.de/10013135342
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Solving Large Scale Rational Expectations Models
Gaspar, Jess - 2010
We explore alternative approaches to numerical solutions of large rational expectations models. We discuss and compare several current alternatives, focussing on the tradeoffs in accuracy, space, and speed. The models range from representative agent models with many goods and capital stocks, to...
Persistent link: https://www.econbiz.de/10012763554
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Econometrics for Decision Making : Building Foundations Sketched by Haavelmo and Wald
Manski, Charles F. - 2019
initiated his own seminal development of statistical decision theory. Haavelmo favorably cited Wald, but econometrics …In the early 1940s, Haavelmo proposed a probabilistic structure for econometric modeling, aiming to make econometrics … subsequently did not embrace statistical decision theory. Instead, it focused on study of identification, estimation, and …
Persistent link: https://www.econbiz.de/10012857670