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Monetary and Fiscal Policy Switching
Davig, Troy - 2004
A growing body of evidence finds that policy reaction functions vary substantially over different periods in the United States. This paper explores how moving to an environment in which monetary and fiscal regimes evolve according to a Markov process can change the impacts of policy shocks. In...
Persistent link: https://www.econbiz.de/10012468331
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Robust Non-Linear Regression Using The Dogleg Algorithm
Welsch, Roy E. - 1975
What are the statistical and computational problems associated with robust nonlinear regression? This paper presents a number of possible approaches to these problems and develops a particular algorithm based on the work of Powell and Dennis
Persistent link: https://www.econbiz.de/10012479050
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Regression Discontinuity in Time : Considerations for Empirical Applications
Hausman, Catherine - 2017
estimation bandwidth shrinking even as the sample size increases. Second, estimates may be biased if the time-series properties …
Persistent link: https://www.econbiz.de/10012455080
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Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach
Schorfheide, Frank - 2014
multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … Bayesian estimation provides strong evidence for a small predictable component in consumption growth (even if asset return data … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …
Persistent link: https://www.econbiz.de/10012458363
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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/10012458969
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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/10012459679
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Nonlinear Policy Rules and the Identification and Estimation of Causal Effects in a Generalized Regression Kink Design
Card, David - 2012
We consider nonparametric identification and estimation in a nonseparable model where a continuous regressor of … endogenous assignment variable (like previous earnings). We provide new results on identification and estimation for these …
Persistent link: https://www.econbiz.de/10012460096
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Estimation of Nonlinear Exchange Rate Dynamics in Evolving Regimes
Frankel, Jeffrey A.; Hou, Yao; Xie, Danxia - National Bureau of Economic Research - 2024
regimes. We pay particular attention to the BBC and offer a new approach to parameter estimation by utilizing a three …
Persistent link: https://www.econbiz.de/10014635607
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The Relationship Between Exchange Rates and Inflation Targeting Revisited
Edwards, Sebastian - 2006
This paper deals with the relationship between inflation targeting and exchange rates. I address three specific issues: first, I analyze the effectiveness of nominal exchange rates as shock absorbers in countries with inflation targeting. This issue is closely related to the magnitude of the...
Persistent link: https://www.econbiz.de/10012466531
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Has US Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data
Boivin, Jean - 2005
coefficients. The estimation is based on real-time data and accounts for the presence of heteroskedasticity in the policy shock …-sample estimation. In contrast to Orphanides (2002, 2003), I find that the Fed's response to the real-time forecast of inflation was …
Persistent link: https://www.econbiz.de/10012467369