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Alternative estimates of the Klein-I model

Bianchi, Carlo; Calzolari, Giorgio; Corsi, Paolo - Volkswirtschaftliche Fakultät, … - 1981

This work is mainly intended for applied econometricians and students interested in development and application of estimation methods for structural econometric models. For the Klein-I model, detailed numerical tables of the parameters of the structural and restricted reduced form, of their...

Persistent link: https://www.econbiz.de/10008534244

Macroeconomic Volatility Trade-off and Monetary Policy Regime in the Euro Area

Aguiar, Alvaro; Martins, Manuel M. F. - Faculdade de Economia, Universidade do Porto - 2003

alternative solution-estimation methods employed - optimal control cum GMM, and dynamic programming cum FIML - identify a regime …

Persistent link: https://www.econbiz.de/10005059517

The Effect of Protest Votes on the Estimates of WTP for Use Values of Recreational Sites

Strazzera, Elisabetta; Genius, Margarita; Scarpa, Riccardo - In: Environmental & Resource Economics 25 (2003) 4, pp. 461-476

estimated using Heckman's 2-step method rather than the FIML estimator. Either method has its own drawback: computational … complexity for the FIML method, susceptibility to collinearity problems for the 2-step method. Using data on valuation of forest … some collinearity, the FIML is preferred to the 2-step method. A procedure is outlined to deal with selectivity problems in …

Persistent link: https://www.econbiz.de/10005684362

Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets

Bhar, Ram; Chiarella, Carl; To, Thuy-Duong - EconWPA - 2004

This paper considers a class of Heath-Jarrow-Morton (1992) term structure models, characterized by time deterministic volatilities for the instantaneous forward rate. The bias that arises from using observed futures yields as a proxy for the unobserved instantaneous forward rate is analyzed. The...

Persistent link: https://www.econbiz.de/10005413218

Latent Variable Models Under Misspecification: Two-Stage Least Squares (2SLS) and Maximum Likelihood (ML) Estimators

Bollen, Kenneth A.; Kirby, James B.; Curran, Patrick J.; … - In: Sociological Methods & Research 36 (2007) 1, pp. 48-86

This article compares maximum likelihood (ML) estimation to three variants of two-stage least squares (2SLS) estimation in structural equation models. The authors use models that are both correctly and incorrectly specified. Simulated data are used to assess bias, efficiency, and accuracy of...

Persistent link: https://www.econbiz.de/10010789718

The Federal Reserve’s balance sheet and overnight interest rates: Empirical modeling of exit strategies

Marquez, Jaime; Morse, Ari; Schlusche, Bernd - In: Journal of Banking & Finance 37 (2013) 12, pp. 5300-5315

This paper provides a comprehensive study of the interplay between the Federal Reserve’s balance sheet and overnight interest rates. We model both the supply of and the demand for excess reserves. Treating outright securities holdings of the Federal Reserve as a policy tool, we estimate the...

Persistent link: https://www.econbiz.de/10010709472

An Estimated Small Open Economy New-Keynesian Model of the Australian Economy

Heidari, Hassan - In: Journal for Economic Forecasting (2010) 4, pp. 7-15

This paper estimates a small open economy New-Keynesian model using data from Australia and the US economy with Full Information Maximum Likelihood method. Our estimated US structural parameters are in line with those of Giordani (2004) on Canadian data. For Australian parameters we find that...

Persistent link: https://www.econbiz.de/10008784893

A Simulation Study on FIML Covariance Matrix

Calzolari, Giorgio; Panattoni, Lorenzo - Volkswirtschaftliche Fakultät, … - 1984

In econometric models, estimates of the asymptotic covariance matrix of FIML coefficients are traditionally computed in … covariance matrix in standardizing or normalizing FIML estimated coefficients in the small samples is investigated in this paper …

Persistent link: https://www.econbiz.de/10008836429

Productivity, investment, and current accounts: Reassessing the evidence

Marquez, Jaime - In: Review of World Economics (Weltwirtschaftliches Archiv) 140 (2004) 2, pp. 282-301

Persistent link: https://www.econbiz.de/10005391020

The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison

To, Thuy Duong; Chiarella, Carl - Royal Economic Society - RES - 2003

We propose a generalization of the Shirakawa (1991) model to capture the jump component in fixed income markets. The model is formulated under the Heath, Jarrow and Morton (1992) framework, and allows the presence of a Wiener noise and a finite number of Poisson noises, each associated with a...

Persistent link: https://www.econbiz.de/10005232489