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The effect of parameter uncertainty on consumption, wealth, and welfare

Sampson, Michael J. - In: Annals of economics and finance 23 (2022) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10013352603

Realistic cross-country consumption correlations in a two-country, equilibrium, business cycle model

Devereux, Michael B.; Gregory, Allan W.; Smith, Gregor W. - 1990

Persistent link: https://www.econbiz.de/10000125074

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

Measuring world business cycles

Gregory, Allan W. - In: International economic review 38 (1997) 3, pp. 677-701

Persistent link: https://www.econbiz.de/10001225741

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

Realistic cross-country consumption correlations in a two-country, equilibrium, business cycle model

Devereux, Michael B. - In: Journal of international money and finance 11 (1992) 1, pp. 3-16

Persistent link: https://www.econbiz.de/10001117879