We propose a novel combination of algorithms for jointly estimating parameters and unobservable states in a nonlinear state space system. We exploit an approximation to the marginal likelihood to guide a Particle Marginal Metropolis-Hastings algorithm. While this algorithm seemingly targets...

This empirical note provides updated empirical evidence regarding whether a higher inflation rate of real prices on crude oil and whether real oil price shocks led to higher domestic inflation in the U.S. over the 1965-2012 period. Using autoregressive two stage least squares estimation, the...

This paper argues that Thomas Tooke's (1773--1858) most important legacy to economics is not his conception of "endogenous money", however important, but is instead his original proposition that the long-run "average" rate of interest entered into the normal cost of production and, therefore,...

In 1823, William Blake (1774-1852) published the pamphlet Observations of the Effects Produced by the Expenditure of Government during the Restriction of Cash Payments, which made a significant contribution to debate about the economic effects of government fiscal policy during the French wars...

In a real business cycle model, an agent's fear of model misspecification interacts with stochastic volatility to induce time varying worst case scenarios. These time varying worst case scenarios capture a notion of animal spirits where the probability distributions used to evaluate decision...