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Housing returns and intertemporal substitution in consumption: estimates for industrial economies
Pozzi, Lorenzo - 2022
This paper uses housing returns to estimate the elasticity of intertemporal substitution (EIS) in consumption for ….e., equity and bill returns. An estimable regression equation for aggregate consumption growth and returns is obtained from the … aggregation of the consumption Euler equations of heterogeneous agents. As the regression equation includes unobserved omitted …
Persistent link: https://www.econbiz.de/10013356500
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Identification and Inference in a Simultaneous Equation under Alternative Information Sets and Sampling Schemes
Kiviet, Jan F. - 2012
In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...
Persistent link: https://www.econbiz.de/10010326338
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Robust Estimation of Probit Models with Endogeneity
Naghi, Andrea A.; Váradi, Máté; Zhelonkin, Mikhail - 2021
Probit models with endogenous regressors are commonly used models in economics and other social sciences. Yet, the robustness properties of parametric estimators in these models have not been formally studied. In this paper, we derive the influence functions of the endogenous probit model’s...
Persistent link: https://www.econbiz.de/10012427190
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Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models
Callot, Laurent; Caner, Mehmet; Kock, Anders Bredahl; … - 2015
We propose a new estimator, the thresholded scaled Lasso, in high dimensional threshold regressions. First, we establish an upper bound on the <I>ℓ</I><SUB>∞</SUB> estimation error of the scaled Lasso estimator of Lee et al. (2012). This is a non-trivial task as the literature on high-dimensional models has...</sub></i>
Persistent link: https://www.econbiz.de/10010491399
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Identification and Inference in a Simultaneous Equation Under Alternative Information Sets and Sampling Schemes
Kiviet, Jan F. - 2012
In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...
Persistent link: https://www.econbiz.de/10013097341
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Identifying the Weights in Exchange Market Pressure
Klaassen, Franc - 2011
Exchange market pressure (EMP) measures the pressure on a currency to depreciate. It adds to the actual depreciation a weighted combination of policy instruments used to ward off depreciation, such as interest rates and foreign exchange interventions, where the weights are their effectiveness....
Persistent link: https://www.econbiz.de/10010325742
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Identifying the Weights in Exchange Market Pressure
Klaassen, Franc - 2011
Exchange market pressure (EMP) measures the pressure on a currencyto depreciate. It adds to the actual depreciation a weightedcombination of policy instruments used to ward off depreciation,such as interest rates and foreign exchange interventions, where theweights are their effectiveness. The...
Persistent link: https://www.econbiz.de/10010325985
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A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation
Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K. - 2012
A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed methods are robust in the sense that they can handle target distributions that exhibit non-elliptical shapes such as multimodality and skewness. The basic method makes use of...
Persistent link: https://www.econbiz.de/10010326223
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Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo
Zellner, Arnold (posthumously); Ando, Tomohiro; … - 2012
We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest under a flat prior and the potential of Direct Monte Carlo (DMC) approaches for efficient...
Persistent link: https://www.econbiz.de/10010326354
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Bayesian analysis of instrumental variable models: The potential of direct Monte Carlo
Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - 2012
Persistent link: https://www.econbiz.de/10010326499