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Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10010330969
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Monetary policy, determinacy, and the natural rate hypothesis
Meyer-Gohde, Alexander - 2011
Imposing the natural rate hypothesis (NRH) can dramatically alter the determinacy bounds on monetary policy by closing the output gap in the long run. I show that the hypothesis eliminates any role for the output gap in determinacy and renders the conditions for determinacy identical for all...
Persistent link: https://www.econbiz.de/10010333041
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Quantal Response Equilibrium : A Stochastic Theory of Games
Goeree, Jacob K. - 2016
Quantal Response Equilibrium presents a stochastic theory of games that unites probabilistic choice models developed in … psychology and statistics with the Nash equilibrium approach of classical game theory. Nash equilibrium assumes precise and … is not perfectly predictable. In contrast, QRE models choice behavior as probabilistic and extends classical game theory …
Persistent link: https://www.econbiz.de/10014482331
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The curious culture of economic theory
Spiegler, Ran - 2024
Persistent link: https://www.econbiz.de/10014317273