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Behavioral Heterogeneity in U.S. Inflation Dynamics

Cornea, Adriana; Hommes, Cars; Massaro, Domenico - 2013

In this paper we develop and estimate a behavioral model of inflation dynamics with monopolistic competition, staggered … naive. Fundamentalists are forward-looking in the sense that they believe in a present-value relationship between inflation … forecast future inflation. Agents are allowed to switch between these different forecasting strategies conditional on their …

Persistent link: https://www.econbiz.de/10010326298

An empirical assessment of the U.S. Phillips curve over time

Vlekke, Marente; Koopman, Siem Jan; Mellens, Martin C. - 2021

the Phillips curve over time. We consider different specifications and different measures for inflation. Furthermore, we ….S. headline inflation has remained empirically relevant over the years. …

Persistent link: https://www.econbiz.de/10012797257

On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling

de Pooter, Michiel D.; Segers, René; van Dijk, Herman K. - 2006

Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...

Persistent link: https://www.econbiz.de/10010325199

A novel test for the presence of local explosive dynamics

Blasques, Francisco; Koopman, Siem Jan; Mingoli, Gabriele; … - 2024

In economics and finance, speculative bubbles take the form of locally explosive dynamics that eventually collapse. We propose a test for the presence of speculative bubbles in the context of mixed causal-noncausal autoregressive processes. The test exploits the fact that bubbles are...

Persistent link: https://www.econbiz.de/10014547696

Pensions, Debt and Inflation Risk in a Monetary Union

Adema, Yvonne - 2010

This paper investigates the international spillovers of government debt and the associated risk of inflation within a … inflation at the cost of the funded country. In response to these conflicting interests about inflation, inflation risk may rise … with the level of debt in the PAYG country. Higher inflation risk harms both countries. Actually, in contrast to the debt …

Persistent link: https://www.econbiz.de/10010326045

Nearly Unbiased Estimation in Dynamic Panel Data Models with Exogenous Variables

Carree, Martin A. - 2002

This paper introduces a new estimator for the fixed effects dynamic panel data model withexogenous variables. This estimator does not share some of the drawbacks of recently developed IVand GMM estimators and has a good performance even in small samples. The nearly unbiased estimatoris derived...

Persistent link: https://www.econbiz.de/10010324980

The Importance of Accounting for Time Trends when Estimating the Euro Effect on Trade

Bun, Maurice J.G.; Klaassen, Franc J.G.M. - 2003

To study the effect of the euro on international goods trade one typically estimates a panel model for the level of trade. Trade levels increase over time, and we show that this is not fully explained by the included regressors. Because the euro is only present at the end of the sample, this may...

Persistent link: https://www.econbiz.de/10010324985

Combining Panel Data Sets with Attrition and Refreshment Samples

Hirano, Keisuke; Imbens, Guido W.; Ridder, Geert; … - 1998

With panel data important issues can be resolved that can not beaddressed with cross--sectional data. A major drawback is that paneldata suffer from more severe missing data problems. Adding a sampleconsisting of new units randomly drawn from the original populationas replacements for units who...

Persistent link: https://www.econbiz.de/10010325629

Panel Data Estimates of the Production Function and Product and Labor Market Imperfections

Dobbelaere, Sabien; Mairesse, Jacques - 2009

Embedding the efficient bargaining model into the R. Hall (1988) approach for estimating price-cost margins shows that both imperfections in the product and labor markets generate a wedge between factor elasticities in the production function and their corresponding shares in revenue. This...

Persistent link: https://www.econbiz.de/10010325978

Product and Labor Market Imperfections and Scale Economies: Micro-Evidence on France, Japan and the Netherlands

Dobbelaere, Sabien; Kiyota, Kozo; Mairesse, Jacques - 2013

Allowing for three labor market settings (perfect competition or right-to-manage bargaining, efficient bargaining and monopsony), this paper relies on an extension of Hall's econometric framework for estimating simultaneously price-cost margins and scale economies. Using an unbalanced panel of...

Persistent link: https://www.econbiz.de/10010326464

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