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We estimate a Markov-switching mixture of two familiar macroeconomic models: a richly parameterized dynamic stochastic general equilibrium (DSGE) model and a corresponding Bayesian vector autoregression (BVAR) model. We show that the Markov-switching mixture model dominates both individual...
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This paper discusses various challenges in the specification and implementation of "macro-finance" models in which macroeconomic variables and term structure variables are modeled together in a no-arbitrage framework. I classify macro-finance models into pure latent-factor models ("internal...
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The authors adapt modern control theoretic techniques based on robust control theory to economic modelling and decision … entropy and in this sense the robust control theory is not only adapted but also extended in the book. The main issues … noncooperative game theory to solve the formulated decision making problems. The book is self-contained and rigorous and may be …
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