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What goes up sometimes stays up: Shocks and Institutions as Determinants of Unemployment Persistence

Amisano, Gianni; Serati, Massimiliano - 2002

so that our identification is not affected by the Faust andLeeper (1997) critique. We find widespread hysteresis: demand …-teractions with structural shocks and other institutions as crucial determinantsof hysteresis. …

Persistent link: https://www.econbiz.de/10010324805

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 price setting and heterogeneous firms. In our stylized framework there are two groups of price setters, fundamentalists and naive. Fundamentalists are forward-looking in the...

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

Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS

Diks, Cees; van der Weide, Roy - 2003

This paper considers a simple Continuous Beliefs System (CBS) toinvestigate the effects on price dynamics of several behavioralassumptions: (i) herd behaviour; (ii) a-synchronous updating ofbeliefs; and (iii) heterogeneity in time horizons (memory) amongagents. The recently introduced concept of...

Persistent link: https://www.econbiz.de/10010324793

Examining the Nelson-Siegel Class of Term Structure Models

Pooter, Michiel De - 2007

In this paper I examine various extensions of the Nelson and Siegel (1987) model with the purpose of fitting and forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in-sample fit of the term structure. However, I show that the...

Persistent link: https://www.econbiz.de/10010325534

Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information

de Pooter, Michiel D.; Ravazzolo, Francesco; van Dijk, Dick - 2007

We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of models that have been used in the literature. We assess the relevance of parameter uncertainty by examining the added value of using Bayesian inference compared to frequentist estimation techniques,...

Persistent link: https://www.econbiz.de/10010325565

The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations

Nawata, Kazumitsu; McAleer, Michael - 2013

Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but inconsistent under the alternative, and the other being consistent under both the null and alternative...

Persistent link: https://www.econbiz.de/10010328351

DSGE Models with Observation-Driven Time-Varying parameters

Angelini, Giovanni; Gorgi, Paolo - 2018

This paper proposes a novel approach to introduce time-variation in structural parameters of DSGE models. Structural parameters are allowed to evolve over time via an observation-driven updating equation. The estimation of the resulting DSGE model can be easily performed by maximum likelihood...

Persistent link: https://www.econbiz.de/10011819545

Derived Measurement in Macroeconomics: Two Approaches for Measuring the NAIRU Considered

Rodenburg, Peter - 2007

This paper investigates two different procedures for the measurement of the NAIRU; one based on structural modeling … (the NAIRU) and numbers.The paper argues that shifts of the Phillips-curve are not a problem for the structural approach to … measurement of the NAIRU, as the NAIRU itself is a time-varying concept. It is however, the impossibility to identify the exact …

Persistent link: https://www.econbiz.de/10010325543

Derived Measurement in Macroeconomics : Two Approaches for Measuring the NAIRU Considered

Rodenburg, Peter - 2010

Persistent link: https://www.econbiz.de/10013142984

The Non-Parametric Identification of Lagged Duration Dependence

Frijters, Paul - 2000

In this paper, I consider the identification of lagged durationdependence in multiple spells without using the assumtion that there are additionalregressors orthogonal to the individual effects. The non-parametricidentification strategy is applied to the multiple non-employment spells of 2066...

Persistent link: https://www.econbiz.de/10010324566

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