Similar Search Results

Inference in dynamic stochastic general equilibrium models with possible weak identification

Qu, Zhongjun - In: Quantitative economics : QE ; journal of the … 5 (2014) 2, pp. 457-494

This paper considers inference in log-linearized dynamic stochastic general equilibrium (DSGE) models with weakly (including un-) identified parameters. The framework allows for analysis using only part of the spectrum, say at the business cycle frequencies. First, we characterize weak...

Persistent link: https://www.econbiz.de/10011757270

Trend und Zyklus im Bruttoinlandsprodukt der Bundesrepublik Deutschland : eine Anmerkung

Meier, Carsten-Patrick - 2000

Diese Anmerkung zeigt, dass das reale Bruttoinlandsprodukt der Bundesrepublik Deutschland einem trendstationären Prozess folgt. Dabei werden sowohl ökonometrische Tests, bei denen die Trendstationarität die Alternativhypothese ist, eingesetzt als auch solche, bei denen sie die Nullhypothese...

Persistent link: https://www.econbiz.de/10011495591

Identifying financial instability conditions using high frequency data

Mancino, Maria Elvira; Sanfelici, Simona - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 221-242

Persistent link: https://www.econbiz.de/10012226914

Monthly US business cycle indicators : a new multivariate approach based on a band-pass filter

Marczak, Martyna; Gómez, Víctor - 2013

volatility. -- Business cycle ; multivariate structural time series model ; univariate band-pass filter ; forecasts ; phase angle …

Persistent link: https://www.econbiz.de/10009703733

Superstatistical Fluctuations in Time Series of Leverage Returns

Katz, Yuri A. - 2013

Fat tails of q-Gaussian distributions of daily log-leverage-returns of 520 North American industrial firms reported by Katz and Tian (2013) imply a significantly higher credit risk at short time-horizons and/or large initial distances to the default barrier than forecasted by traditional...

Persistent link: https://www.econbiz.de/10013072548

Multiple Filtering Devices for the Estimation of Cyclical DSGE Models

Canova, Fabio - 2014

We propose a method to estimate time invariant cyclical DSGE models using the information provided by a variety of filtering approaches. We treat data filtered with alternative procedures as contaminated proxy of the relevant model-based quantities and estimate structural and nonstructural...

Persistent link: https://www.econbiz.de/10012708366

Multiple filtering devices for the estimation of cyclical DSGE model

Canova, Fabio; Ferroni, Filippo - In: Quantitative economics : QE ; journal of the … 2 (2011) 1, pp. 73-98

We propose a method to estimate time invariant cyclical dynamic stochastic general equilibrium models using the information provided by a variety of filters. We treat data filtered with alternative procedures as contaminated proxies of the relevant model-based quantities and estimate structural...

Persistent link: https://www.econbiz.de/10011755937

Applied Cointegration Analysis in the Mirror of Macroeconomic Theory

Vredin, Anders - 2013

Cointegration analyses of macroeconomic time series are often not based on fully specified theoretical models. We use a theoretical model to scrutinize common procedures in applied cointegration analysis. Monte Carlo experiments show that (1) some tests of the cointegration vectors do not work...

Persistent link: https://www.econbiz.de/10013095882

Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation

Callot, Laurent; Kristensen, Johannes Tang - 2015

This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...

Persistent link: https://www.econbiz.de/10010532582

The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008

accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

Persistent link: https://www.econbiz.de/10011376640

1
2
3
4
5
6
7
8
9
10
Next
Last