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Housing tenure and wealth distribution in life-cycle economies

Silos, Pedro - 2005

Common practice in the housing and wealth distribution literature has proceeded as if the modeling of housing rental markets was unnecessary due to renters’ relative low levels of wealth and the small fraction they represent in the total population. This paper shows, however, that their...

Persistent link: https://www.econbiz.de/10010397658

Convergence properties of the likelihood of computed dynamic models

Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - 2004

This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, economists approximate the policy functions of the agents in the model with numerical methods. But this implies that, instead of the exact likelihood function, the researcher...

Persistent link: https://www.econbiz.de/10010397660

Land prices and unemployment

Liu, Zheng; Miao, Jianjun; Zha, Tao - 2013

We integrate the housing market and the labor market in a dynamic general equilibrium model with credit and search frictions. The model is confronted with the U.S. macroeconomic time series. Our estimated model can account for two prominent facts observed in the data. First, the land price and...

Persistent link: https://www.econbiz.de/10010397671

Mimicking portfolios, economic risk premia, and tests of multi-beta models

Balduzzi, Pierluigi; Robotti, Cesare; Balduzzi, Pierluigi; … - 2005

This paper considers two alternative formulations of the linear factor model (LFM) with nontraded factors. The first formulation is the traditional LFM, where the estimation of risk premia and alphas is performed by means of a cross-sectional regression of average returns on betas. The second...

Persistent link: https://www.econbiz.de/10010397678

Perturbation methods for Markov-switching DSGE models

Foerster, Andrew; Rubio-Ramírez, Juan; Waggoner, Daniel F. - 2013

any order can be reduced to solving a system of quadratic equations. We propose using the theory of Grobner bases in …

Persistent link: https://www.econbiz.de/10010397689

Housing, portfolio choice, and the macroeconomcy

Silos, Pedro; Silos, Pedro - 2005

Much of the macroeconomics literature dealing with wealth distribution has become abstracted from modeling housing explicitly. This paper investigates the properties of the wealth distribution and the portfolio composition regarding housing and equity holdings and their relationship to...

Persistent link: https://www.econbiz.de/10010397707

Inference based on SVARs identified with sign and zero restrictions: Theory and applications

Arias, Jonas E.; Rubio-Ramírez, Juan F.; Waggoner, … - 2014

of these techniques does not respect the agnosticism of the theory. These algorithms impose additional sign restrictions … agnosticism of the theory. Without the additional restrictions, it is hard to support the claim that either optimism shocks are an …

Persistent link: https://www.econbiz.de/10010397712

A Monte Carlo procedure for checking identification in DSGE models

Le, Vo Phuong Mai; Minford, Patrick; Wickens, Michael - 2013

We propose a numerical method, based on indirect inference, for checking the identification of a DSGE model. Monte Carlo samples are generated from the model's true structural parameters and a VAR approximation to the reduced form estimated for each sample. We then search for a different set of...

Persistent link: https://www.econbiz.de/10010397720

Estimating production functions with robustness against errors in the proxy variables

Huang, Guofang; Hu, Yingyao - 2011

This paper proposes a new semi-nonparametric maximum likelihood estimation method for estimating production functions. The method extends the literature on structural estimation of production functions, started by the seminal work of Olley and Pakes (1996), by relaxing the scalar-unobservable...

Persistent link: https://www.econbiz.de/10010397791

Optimal representative taxation, information and tax reform

Winer, Stanley L.; Hettich, Walter - 1993

This paper moves toward the formulation of a normative theory of taxation that incorporates collective choice as an … essential element. Such a theory has many interesting parallels to optimal taxation, including large information requirements …In diesem Papier wird versucht, eine normative Theorie der Besteuerung auf der Theorie der kollektiven Entscheidung …

Persistent link: https://www.econbiz.de/10010397881