The paper proposes a method that solves the non-monotonic power problem of a family of structural changes in mean tests based on an orthonormal series filtering of the error process before estimating variance of the test statistics. This method yields a consistent estimator for the variance...

Finance models of the term structure of interest rates have for a long time relied on unobserved factors as explanatory variables. In a seminal paper, Ang and Piazzesi (2003) have examined the potential role of macroeconomic variables in explaining the term structure. They, and subsequent...

This paper provides formulae for computing perturbation method approximations of unconditional variances of variables in nonlinear DSGE models. Spurious higher order terms that creep into multi-step ahead forecasts can produce explosive time paths frustrating traditional approaches to estimating...

The Local Scale Model of Shephard (1994) is a state-space model of volatility clustering similar in effect to IGARCH, but with an unobserved volatility that realistically evolves independently of the observed errors, instead of being mechanically determined by them. It has one fewer parameter to...

In impulse response analysis the construction of intervals for the response at a particular time is a familiar topic. This paper considers the construction of confidence bands for the path of reponses. It investigates the feasibility of procedures based on heuristic optimisation methods for...

We show how datasets on heterogeneous individuals, making discrete supply and demand decisions, can be rigorously linked/aggregated into an applied GE model. We illustrate this on labor supply in an OLG model in an ageing context

This paper characterizes the optimal long-run rate of inflation, consistent with an occasionally binding zero lower bound on nominal interest rates, in a stochastic New Keynesian sticky-price model calibrated to the U.S. economy. This may serve to inform discussions on the design of an...

Though multivariate GARCH models are widely used in empirical research, their computational aspects still represent a major hurdle, especially when these specifications are introduced in structural models. One such extension namely the simultaneous equations model (SEM) with GARCH errors was...

This paper uses a DSGE model to study the potential benefits and costs of joining a monetary union. We show that the potential benefits arise from two sources. First, it reduces the magnitude of shocks by eliminating shocks to the nominal exchange rate, which have been found to be very...

I will discuss my experiences with the course "Simulation methods", given several times in the graduate program of the University Pompeu Fabra, Barcelona. The main topics of the course are 1) Basic techniques of numerical analysis: nonlinear unconstrained and constrained optimization, nonlinear...