Showing 11 - 20 of 239
Star variables, such as potential output and the neutral real interest rate, are fundamental to economic policymaking but challenging to identify due to their latent nature. Buncic, Pagan, and Robinson (2023) highlight the difficulty of identifying star variables within short macroeconomic...
Persistent link: https://www.econbiz.de/10015329658
Bandwidth plays an important role in determining the performance of local linear estimators. In this paper, we propose a Bayesian approach to bandwidth selection for local linear estimation of time-varying coefficient time series models, where the errors are assumed to follow the Gaussian kernel...
Persistent link: https://www.econbiz.de/10013086871
We ask whether Bayesian estimation creates a potential estimation bias as compared with standard estimation techniques based on the data, such as maximum likelihood or indirect estimation. We investigate this with a Monte Carlo experiment in which the true version of a New Keynesian model may...
Persistent link: https://www.econbiz.de/10012624789
We study the estimation of heterogeneous effects of group-level policies, using quantile regression with interactive fixed effects. Our approach can identify distributional policy effects, particularly effects on inequality, under a type of difference-in-differences assumption. We provide...
Persistent link: https://www.econbiz.de/10014079207
In this paper, a semiparametric single-index model is investigated. The link function is allowed to be unbounded and has unbounded support that answers a pending issue in the literature. Meanwhile, the link function is treated as a point in an infinitely many dimensional function space which...
Persistent link: https://www.econbiz.de/10012980605
We obtain uniform consistency results for kernel-weighted sample covariances in a nonstationary multiple regression framework that allows for both fixed design and random design coefficient variation. In the fixed design case these nonparametric sample covariances have different uniform...
Persistent link: https://www.econbiz.de/10013072455
This paper studies a general class of nonlinear varying coefficient time series models with possible nonstationarity in both the regressors and the varying coffiecient components. The model accommodates a cointegrating structure and allows for endogeneity with contemporaneous correlation among...
Persistent link: https://www.econbiz.de/10013075943
This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time. These time-varying coefficient functions are well-suited to many practical applications and can be estimated conveniently by nonparametric kernel methods. It is shown that the...
Persistent link: https://www.econbiz.de/10013075944
This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time. These time-varying coefficient functions are well-suited to many practical applications and can be estimated conveniently by nonparametric kernel methods. It is shown that the...
Persistent link: https://www.econbiz.de/10013075992
Estimation in two classes of popular models, single-index models and partially linear single-index models, is studied in this paper. Such models feature nonstationarity. Orthogonal series expansion is used to approximate the unknown integrable link function in the models and a profile approach...
Persistent link: https://www.econbiz.de/10013058521