Search Results - subject:"Dynamic Models"

Dynamic models used in analysis capital and population

Anghel, Mădălina-Gabriela; Iacob, Ștefan Virgil; … - In: Theoretical and applied economics : GAER review 26 (2019) 4/621, pp. 149-162

Persistent link: https://www.econbiz.de/10012432610

Banded spatio-temporal autoregressions

Gao, Zhaoxing; Ma, Yingying; Wang, Hansheng; Yao, Qiwei - In: Journal of econometrics 208 (2019) 1, pp. 211-230

Persistent link: https://www.econbiz.de/10012139832

Climate regulation and emissions abatement : theory and evidence from firms' disclosures

Ramadorai, Tarun; Zeni, Federica - 2019

Persistent link: https://www.econbiz.de/10012208012

Optimal Formulations for Nonlinear Autoregressive Processes

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014

We develop optimal formulations for nonlinear autoregressive models by representing them as linear autoregressive models with time-varying temporal dependence coefficients. We propose a parameter updating scheme based on the score of the predictive likelihood function at each time point. The...

Persistent link: https://www.econbiz.de/10010491334

Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach

Laurini, Márcio Poletti; Neto, Armênio Westin - In: International Econometric Review (IER) 6 (2014) 2, pp. 77-99

This work presents an analysis of the presence of arbitrage opportunities in the term structure of interest rates, through the estimation of the affine generalized Nelson-Siegel model with correction for no-arbitrage. We challenge the necessity of the condition of noarbitrage using the Brazilian...

Persistent link: https://www.econbiz.de/10012610953

"Endogenous Gridpoints in Multiple Dimensions: Interpolation on Non-Linear Grids"

White, Matthew N. - Department of Economics, Lerner College of Business and … - 2014

In dynamic optimization problems with multiple continuous state variables and multiple continuous controls, the method of endogenous gridpoints (ENDG) generates an irregular collection of gridpoints for which standard interpolation techniques do not apply, while alternative interpolation methods...

Persistent link: https://www.econbiz.de/10011096383

A demand-driven search model with self-fulfilling expectations: The new `Farmerian' framework under scrutiny

Gelain, Paolo; Guerrazzi, Marco - Volkswirtschaftliche Fakultät, … - 2014

In this paper, we implement Bayesian econometric techniques to analyze a theoretical framework built along the lines of Farmer's micro-foundation of the General Theory. Specifically, we test the ability of a demand-driven search model with self-fulfilling expectations to match the behaviour of...

Persistent link: https://www.econbiz.de/10011109526

Dynamic modeling of commodity futures prices

Karapanagiotidis, Paul - Volkswirtschaftliche Fakultät, … - 2014

Theory suggests that physical commodity prices may exhibit nonlinear features such as bubbles and various types of asymmetries. This paper investigates these claims empirically by introducing a new time series model apt to capture such features. The data set is composed of 25 individual,...

Persistent link: https://www.econbiz.de/10011110109

Optimal Formulations for Nonlinear Autoregressive Processes

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2014

Persistent link: https://www.econbiz.de/10011257394

The Representative Household Assumption Requires sustainable Heterogeneity in Dynamic Models

Harashima, Taiji - Volkswirtschaftliche Fakultät, … - 2014

The assumption of the representative household defined as the average of all households is impossible in dynamic models …, macroeconomics studies using the representative household assumption in dynamic models are fallacious. I present an alternative … representative household assumption becomes possible in dynamic models. …

Persistent link: https://www.econbiz.de/10011113953