Similar Search Results

Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels

Almeida, Caio - 2011

We develop a new approach to identify model misspecifications based on Minimum Discrepancy (MD) projections that correct asset pricing models with the use of nonlinear functions of basis assets returns. These nonlinear corrections make our method more effective than the Hansen and Jagannathan...

Persistent link: https://www.econbiz.de/10013128539

The Effect of Past and Future Economic Fundamentals on Spending and Pricing Behavior in the Frb/Us Macroeconomic Model

von zur Muehlen, Peter - 2015

This paper derives and presents mean leads and lags as well as patterns of relative importance weights implied by the PAC (polynomial-adjustment-cost) error-correction equations which form the core of the FRB/US model at the Federal Reserve Board. Relative importance weights measure the...

Persistent link: https://www.econbiz.de/10014134113

General-to-Specific Modeling : An Overview and Selected Bibliography

Campos, Julia; Ericsson, Neil R.; Hendry, David F. - 2005

of reduction, summarizes the approach of general-to-specific modeling, and discusses the econometrics of model selection …This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an …, noting that general-to-specific modeling is the practical embodiment of reduction. This paper then summarizes fifty …

Persistent link: https://www.econbiz.de/10014062671

Handling Endogenous Marketing Mix Regressors in Correlated Heterogeneous Panels with Copula Augmented Mean Group Estimation

Yang, Liying; Qian, Yi; Xie, Hui - National Bureau of Economic Research - 2024

Endogeneity is a primary concern when evaluating causal effects using observational panel data. While unit-specific intercepts control for unobserved time-invariant confounders, dependence between (i) regressors (e.g., marketing mix strategy of interests) and the current error term (regressor...

Persistent link: https://www.econbiz.de/10015171668

Estimation and Evaluation of DSGE Models : Progress and Challenges

Schorfheide, Frank - 2011

Estimated dynamic stochastic equilibrium (DSGE) models are now widely used for empirical research in macroeconomics as well as for quantitative policy analysis and forecasting at central banks around the world. This paper reviews recent advances in the estimation and evaluation of DSGE models,...

Persistent link: https://www.econbiz.de/10014186380

Time to Reject the Privileging of Economic Theory Over Empirical Evidence? A Reply to Lawson (2009)

Jusélius, Katarina - 2009

The present financial and economic crisis has revealed a systemic failure of academic economics and emphasized the need to re-think how to model economic phenomena. Lawson (2009) seems concerned that critics of standard models now will fill academic journals with contributions that make the same...

Persistent link: https://www.econbiz.de/10014204400

Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy

Onatski, Alexei; Stock, James H. - 2001

This paper examines monetary policy in Rudebusch and Svensson's (1999) two equation macroeconomic model when the policymaker recognizes that the model is an approximation and is uncertain about the quality of that approximation. It is argued that the minimax approach of robust control provides a...

Persistent link: https://www.econbiz.de/10014156171

Optimization strategy for the modeling and estimation of interactive effects

Hu, Xiaohui - In: Prague economic papers : a bimonthly journal of … 33 (2024) 3, pp. 261-276

Modeling policy effects in the context of high-dimensional data requires a balanced consideration of omitted …

Persistent link: https://www.econbiz.de/10015054100

Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models

Shen, Xiangjin - 2013

We compare Bayesian and sample theory model specification criteria. For the Bayesian criteria we use the deviance information criterion and the cumulative density of the mean squared errors of forecast. For the sample theory criterion we use the conditional Kolmogorov test. We use Markov chain...

Persistent link: https://www.econbiz.de/10013078996

In- and Out-of-Sample Specification Analysis of Spot Rate Models : Further Evidence for the Period 1982-2008

Swanson, Norman R. - 2011

We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of...

Persistent link: https://www.econbiz.de/10013124381