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Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data

Eichenbaum, Martin S. - 1987

In conducting empirical investigations of the permanent income model of consumption and the consumption-based intertemporal asset pricing model, various authors have imposed restrictions on the nature of the substitutability of consumption across goods and over time. In this paper we suggest a...

Persistent link: https://www.econbiz.de/10012476889

Asset Prices in a Time Series Model with Disparately Informed, Competative Traders

Singleton, Kenneth J. - 1986

receives private signals about the current values of a subset of the shocks, and (3) the equilibrium price conveys information … about the private signals and beliefs of other traders. Since prices convey information in this economy, traders will face … deduced in various imperfect information environments. Then the volatility and autocorrelations of prices in this model are …

Persistent link: https://www.econbiz.de/10012477178

A Time-Series Model of Housing Investment in the U.S

Rosen, Sherwin - 1986

A decentralized market theory of investment based on rising supply price is formulated and explained. Asset prices … embody all available information in a competitive market and serve as "sufficient statistics" for future market conditions …, because it pays to "build ahead of demand" in the presence of rising supply price. This model, similar to q-theory, assumes …

Persistent link: https://www.econbiz.de/10012477259

On Low-Frequency Estimates of "Long-Run" Relationships in Macro- economics

McCallum, Bennett T. - 1983

A number of recent studies have attempted to test propositions concerning "long runt" economic relationships by means of frequency-domain time series techniques that concentrate attention on low frequency co-movements of variables.The present paper emphasizes that many of these propositions...

Persistent link: https://www.econbiz.de/10012477939

Alternative Prior Representations of Smoothness for Distributed Lag Estimation

Shiller, Robert J. - 1975

In some applications of the distributed lag model, theory requires that all lag coefficients have a positive sign. A …

Persistent link: https://www.econbiz.de/10012479037

Ridge Estimators for Distributed Lag Models

Maddala, G.S. - 1974

The paper explains how the Almon polynominal lag specification can be made stochastic in two different ways - one suggested by Shiller and another following the lines of Lindley and Smith. It is shown that both the estimators can be considered as modified ridge estimators. The paper then...

Persistent link: https://www.econbiz.de/10012479064

Macroeconomics and Volatility : Data, Models, and Estimation

Fernández-Villaverde, Jesús - 2010

data using likelihood-based methods and non-linear filtering theory. Fourth, we present two "real life" applications. We …

Persistent link: https://www.econbiz.de/10012462039

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation

Andersen, Torben G. - 2009

variation measure, the new estimators allow for the development of an asymptotic limit theory in the presence of jumps. Finally …

Persistent link: https://www.econbiz.de/10012463116

Low-Frequency Robust Cointegration Testing

Müller, Ulrich - 2009

Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust...

Persistent link: https://www.econbiz.de/10012463358

Modeling Model Uncertainty

Onatski, Alexei - 2003

Recently there has been a great deal of interest in studying monetary policy under model uncertainty. We point out that different assumptions about the uncertainty may result in drastically different robust' policy recommendations. Therefore, we develop new methods to analyze uncertainty about...

Persistent link: https://www.econbiz.de/10012469134

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