We develop a Markov Chain Monte Carlo algorithm for estimating nested logit models in a Bayesian framework. Appropriate "heating target" and reparametrization techniques are adopted for fast mixing. For illustrative purposes, we have implemented the algorithm on two real-life examples involving...

This paper provides a critical review of the popular Carlson-Parkin (CP) quantification method using household-level data from the University of Michigan’s Survey of Consumers. We find strong evidence against the threshold constancy, symmetry, homogeneity, and the overall unbiasedness...

We estimate a Bayesian learning model with heterogeneity aimed at explaining the evolution of expert disagreement in forecasting real GDP growth and inflation over 24 monthly horizons for G7 countries during 1990-2007. Professional forecasters are found to begin and have relatively more success...

We have studied the comparative performance of a number of interest rate spreads as predictors of the German inflation and business cycle in the post Bretton Woods era. The two-regime Markov switch model that we used as a nonlinear filter allows the dynamic behavior of the economy to vary...

We study the information content of the University of Michigan's Index of Consumer Sentiment as well as its five components. Using household data from the Surveys of Consumers, we identify the main determinants of these indicators and document their varying role over the business cycle. Our...

Background: Although previous research indicates that mental disorders detract from labor market outcomes, little is known about which psychiatric symptoms are most important. Objective: The objective of this study is to identify the mechanisms, or most important symptoms, through which...

While the yield spread has long been recognized as a good predictor of recessions, it seems to have been largely overlooked by professional forecasters. We examine this puzzle, established by Rudebusch and Williams (2009), in a data-rich environment including not just the yield spread but many...

Evaluation methodologies for rare events from meteorology, psychology and medical diagnosis are used to examine the value of probability forecasts of real GDP declines during the current (Q0) and each of the next four quarters (Q1-Q4) using data from the Survey of Professional Forecasters. We...