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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

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

The Phillips Curve is Back? Using Panel Data to Analyze the Relationship Between Unemployment and Inflation in an Open Economy

DiNardo, John - 1999

panel data to estimate the textbook 'expectations augmented' Phillips curve with a market-based and observable measure of …

Persistent link: https://www.econbiz.de/10012471456

Estimating Distributed Lags in Short Panels with an Application to the Specification of Depreciation Patterns and Capital Stock Constructs

Pakes, Ariel - 1982

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/10012478174

Multiple Time-Serie3 Models Applied to Panel Data

MaCurdy, Thomas E. - 1981

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/10012478475

Inappropriate Pooling of Wealthy and Poor Countries in Empirical FDI Studies

Blonigen, Bruce A. - 2004

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/10012468315

Panel Data Hedonics : Rosen's First Stage and Difference-in-Differences as "Sufficient Statistics"

Banzhaf, H. Spencer - 2015

be reliably estimated, and when panel data on household demands is available, one can construct a second …

Persistent link: https://www.econbiz.de/10012457183

On the Relationship Between the Conditional Mean and Volatility of Stock Returns : A Latent VAR Approach

Brandt, Michael W. - 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/10012469657

Answering the Critics : Yes, ARCH Models Do Provide Good Volatility Forecasts

Andersen, Torben G. - 1997

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/10012472795

Bayesian Variable Selection for Nowcasting Economic Time Series

Scott, Steven L. - 2013

We consider the problem of short-term time series forecasting (nowcasting) when there are more possible predictors than observations. Our approach combines three Bayesian techniques: Kalman filtering, spike-and-slab regression, and model averaging. We illustrate this approach using search engine...

Persistent link: https://www.econbiz.de/10012459094

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