Showing 1 - 10 of 13,712
Persistent link: https://www.econbiz.de/10003855308
We consider a prototypical representative-agent forward-looking model, and study the low frequency variability of the data when the agent's beliefs about the model are updated through linear learning algorithms. We find that learning in this context can generate strong persistence. The degree of...
Persistent link: https://www.econbiz.de/10013075046
Persistent link: https://www.econbiz.de/10011418545
Persistent link: https://www.econbiz.de/10011818365
We consider a prototypical representative-agent forward-looking model, and study the low frequency variability of the data when the agent's beliefs about the model are updated through linear learning algorithms. We find that learning in this context can generate strong persistence. The degree of...
Persistent link: https://www.econbiz.de/10013092031
Persistent link: https://www.econbiz.de/10012824497
Persistent link: https://www.econbiz.de/10014424123
Persistent link: https://www.econbiz.de/10001666076
We establish that the recursive, state-space methods of Kalman filtering and smoothing can be used to implement the Doan, Litterman, and Sims (1983) approach to econometric forecast and policy evaluation. Compared with the methods outlined in Doan, Litterman, and Sims, the Kalman algorithms are...
Persistent link: https://www.econbiz.de/10013248279
This paper extends the widely used Lee Carter (LC) model (Lee & Carter, 1992) for mortality projection. We suggest a random walk with drift to model the time parameter of the Bayesian extension of the LC model suggested in Czado et al. (2005). In a validation-based examination, the proposed...
Persistent link: https://www.econbiz.de/10012871935