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Information-theoretic estimation of preference parameters : macroeconomic applications and simulation evidence

Gregory, Allan W.; Lamarche, Jean-Francois; Smith, Gregor W. - 2001 - First draft February 2000

This paper investigates the behaviour of estimators based on the Kullback-Leibler information criterion (KLIC), as an alternative to the generalized method of moments (GMM). We first study the estimators in a Monte Carlo simulation model of consumption growth with power utility. Then we compare...

Persistent link: https://www.econbiz.de/10009676158

Identifying the new Keynesian Phillips curve

Nason, James Michael; Smith, Gregor W. - In: Journal of applied econometrics 23 (2008) 5, pp. 525-551

Persistent link: https://www.econbiz.de/10003760412

Identifying the New Keynesian Phillips Curve

Nason, James Michael (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003274656

Identifying the new Keynesian Phillips curve

Nason, James Michael (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002583449

Precautionary saving and portfolio allocation : DP by GMM

Letendre, Marc-André; Smith, Gregor W. - In: Journal of monetary economics 48 (2001) 1, pp. 197-215

Persistent link: https://www.econbiz.de/10001606535

The CCAPM meets Euro-interest rate persistence, 1960-2000

Head, Allen Charles; Smith, Gregor W. - In: Journal of international economics 59 (2003) 2, pp. 349-366

Persistent link: https://www.econbiz.de/10001754182

Information-theoretic estimation of preference parameters : macroeconomic applications and simulation evidence

Gregory, Allan W.; Lamarche, Jean-François; Smith, … - In: Journal of econometrics 107 (2002) 1/2, pp. 213-233

Persistent link: https://www.econbiz.de/10001651284

US fiscal policy shocks : proxy-SVAR overidentification via GMM

Gregory, Allan W.; McNeil, James; Smith, Gregor W. - In: Journal of applied econometrics 39 (2024) 4, pp. 607-619

Persistent link: https://www.econbiz.de/10014562837