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A simple test of the New Keynesian Phillips Curve

Carriero, Andrea - 2007

We propose a way to test the New Keynesian Phillips Curve (NKPC) without estimating the structural parameters governing the curve, i.e. price stickiness and firms' backwardness. Using this strategy we can test the NKPC avoiding the identification problems related to the GMM approach. We find...

Persistent link: https://www.econbiz.de/10010284158

Information sales and insider trading with long-lived information

Cespa, Giovanni - 2007

Fundamental information resembles in many respects a durable good. Hence, the effects of its incorporation into stock prices depend on who is the agent controlling its flow. Like a durable goods monopolist, a monopolistic analyst selling information intertemporally competes against herself. This...

Persistent link: https://www.econbiz.de/10010284162

Arbitrage, equilibrium, and nonsatiation

Allouch, Nizar; Le Van, Cuong; Page, Frank H. - 2004

contributions to the theory of arbitrage and competitive equilibrium. First, we show that, in general, in unbounded exchange …

Persistent link: https://www.econbiz.de/10010284163

Segregation in networks

Fagiolo, Giorgio; Valente, Marco; Vriend, Nicolaas J. - 2005

Schelling (1969, 1971, 1971, 1978) considered a simple model with individual agents who only care about the types of people living in their own local neighborhood. The spatial structure was represented by a one- or two-dimensional lattice. Schelling showed that an integrated society will...

Persistent link: https://www.econbiz.de/10010284165

Cross-sectional averaging and instrumental variable estimation with many weak instruments

Kapetanios, George; Marcellino, Massimiliano - 2008

Instrumental variable estimation is central to econometric analysis and has justifiably been receiving considerable and … construction of the final instruments, may provide effective estimation strategies. Our use of cross-sectional averaging promotes … of its consistency properties and also show, via a Monte Carlo study, that the approach can provide improved estimation …

Persistent link: https://www.econbiz.de/10010284172

A shrinkage instrumental variable estimator for large datasets

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008

construction of the final instruments, may provide effective estimation strategies. Shrinkage is a well known approach that …

Persistent link: https://www.econbiz.de/10010284174

Network formation and social coordination

Goyal, Sanjeev; Vega-Redondo, Fernando - 2003

This paper develops a simple model to examine the interaction between partner choice and individual behavior in games of coordination. An important ingredient of our approach is the way we model partner choice: we suppose that a player can establish ties with other players by unilaterally...

Persistent link: https://www.econbiz.de/10010284175

Uncovered set choice rule

Lombardi, Michele - 2006

I study necessary and sufficient conditions for a choice function to be rationalised in the following sense: there exists a complete asymmetric relation T (a tournament) such that for each feasible (finite) choice situation, the choice coincides with the uncovered set of T. This notion of...

Persistent link: https://www.econbiz.de/10010284197

Alternative approaches to estimation and inference in large multifactor panels: Small sample results with an application to modelling of asset returns

Kapetanios, George; Pesaran, M. Hashem - 2005

problems for estimation and inference. This paper compares two alternative methods for carrying out estimation and inference in … application to company returns provides an illustration of the alternative estimation procedures. …

Persistent link: https://www.econbiz.de/10010284201

A bootstrap procedure for panel datasets with many cross-sectional units

Kapetanios, George - 2004

This paper considers the issue of bootstrap resampling in panel datasets. The availability of datasets with large temporal and cross sectional dimensions suggests the possibility of new resampling schemes. We suggest one possibility which has not been widely explored in the literature. It...

Persistent link: https://www.econbiz.de/10010284203