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Do Surveys Help in Macroeconomic Variables Disaggregation and Estimation?
Frale, Cecilia - 2009
This paper explores the potential of Business Survey data for the estimation and disaggregation of macroeconomic …
Persistent link: https://www.econbiz.de/10013159077
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Estimating dynamic equilibrium models using mixed frequency macro and financial data
Christensen, Bent Jesper; Posch, Olaf; Wel, Michel van der - 2014
We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous-time conveniently accounts for the difference in observation...
Persistent link: https://www.econbiz.de/10010417979
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Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data
Christensen, Bent Jesper - 2016
We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous time conveniently accounts for the difference in observation...
Persistent link: https://www.econbiz.de/10013008692
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Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data
Christensen, Bent Jesper - 2014
We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous-time conveniently accounts for the difference in observation...
Persistent link: https://www.econbiz.de/10013044593
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Estimation and Filtering of Nonlinear MS-DSGE Models
Ivashchenko, Sergey - 2016
to most tests of filtering quality (including the quality of quasi-maximum likelihood estimation with use of a filter …
Persistent link: https://www.econbiz.de/10012991854
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Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series
Koopman, Siem Jan; Wong, Soon Yip - 2006
model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency …
Persistent link: https://www.econbiz.de/10011350381
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Nonlinear cointegration analysis and the environmental Kuznets curve
Hong, Seung Hyun; Wagner, Martin - 2008
. Here we provide the necessary tools for EKC analysis by deriving estimation and testing theory for cointegrating equations … consider fully modified OLS estimation, specification tests based on augmented and auxiliary regressions, as well as a sub … modified estimation ; nonlinear cointegration analysis ; environmental Kuznets curve …
Persistent link: https://www.econbiz.de/10009735348
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Financial openness and macroeconomic volatility
Hagen, Jürgen von (contributor); Zhang, Haiping (contributor) - 2006
We analyze the implications of financial openness to macroeconomic volatility in a small open economy. Major macroeconomic aggregates show non-monotonic volatility patterns with respect to the degree of financial openness in the model without domestic financial frictions. The introduction of...
Persistent link: https://www.econbiz.de/10003449265
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Labor supply heterogeneity and macroeconomic comovement
Eusepi, Stefano; Preston, Bruce - 2009
Standard real business cycle models must rely on total factor productivity (TFP) shocks to explain the observed comovement of consumption, investment, and hours worked. This paper shows that a neoclassical model consistent with observed heterogeneity in labor supply and consumption can generate...
Persistent link: https://www.econbiz.de/10003947787
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Macroeconomic forecasts and the nature of economic shocks in Germany
Döpke, Jörg - 2000
The paper investigates the sources of macroeconomic forecast errors in Germany. The predictions of the so-called "six leading" research institutes are analyzed. The forecast errors are discussed within an aggregate demand/supply scheme. Structural Vector Autoregressive Models are estimated to...
Persistent link: https://www.econbiz.de/10011476550