This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility models in which the regime state is governed by a first-order Markov chain. We proposes an ongoing updated Dirichlet distribution to estimate the transition probabilities of the...

We generalize the canonical permanent-transitory income process to allow for infrequent shocks. The distribution of income growth rates can then have a discrete mass point at zero and fat tails as observed in income data. We provide analytical formulas for the unconditional and conditional...

This paper argues that there are inherent trade-offs in energy policy objectives that pose frictions to the establishment of a new technology base. We ask how institutions in an evolving electricity system can be designed to best achieve policy targets that are partly conflicting. In particular,...