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Frequentist inference in weakly identified dynamic stochastic general equilibrium models

Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - In: Quantitative Economics 4 (2013) 2, pp. 197-229

Persistent link: https://www.econbiz.de/10011599639

Inference in dynamic stochastic general equilibrium models with possible weak identification

Qu, Zhongjun - In: Quantitative Economics 5 (2014) 2, pp. 457-494

This paper considers inference in log-linearized dynamic stochastic general equilibrium (DSGE) models with weakly …

Persistent link: https://www.econbiz.de/10011599662

Inference on sets in finance

Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - In: Quantitative Economics 6 (2015) 2, pp. 309-358

We consider the problem of inference on a class of sets describing a collection of admissible models as solutions to a … parameters, making them especially appealing in the target applications. We show that the resulting inference procedures are more …

Persistent link: https://www.econbiz.de/10011599678

On the complexity of forming mental models

Kendall, Chad; Oprea, Ryan - In: Quantitative Economics 15 (2024) 1, pp. 175-211

We experimentally study how people form predictive models of simple data generating processes (DGPs), by showing subjects data sets and asking them to predict future outputs. We find that subjects: (i) often fail to predict in this task, indicating a failure to form a model, (ii) often cannot...

Persistent link: https://www.econbiz.de/10014536981

Inference in dynamic discrete choice problems under local misspecification

Bugni, Federico A.; Ura, Takuya - In: Quantitative Economics 10 (2019) 1, pp. 67-103

inference in these models. Specifically, we consider a local misspecification framework in which specification errors are …

Persistent link: https://www.econbiz.de/10012215367

Identification- and singularity-robust inference for moment condition models

Andrews, Donald W. K.; Guggenberger, Patrik - In: Quantitative Economics 10 (2019) 4, pp. 1703-1746

identification inference moment conditions robust singular variance subvector test test weak identification weak instruments C10 C12 …

Persistent link: https://www.econbiz.de/10012215408