Search Results - subject:"Measurement errors"

Productivity Shocks and Aggregate Fluctuations in an Estimated Endogenous Growth Model with Human Capital

Malley, Jim; Woitek, Ulrich - CESifo - 2011

model, we introduce a vector error correction model (VECM) of the measurement errors and estimate the model’s posterior …

Persistent link: https://www.econbiz.de/10009293484

Quantile Regression with Classical Additive Measurement Errors

Montes-Rojas, Gabriel - In: Economics Bulletin 31 (2011) 4, pp. 2863-2868

This note derives the bias of the quantile regression estimator in the presence of classical additive measurement error, and show its connection to least squares models. The bias structure suggests that the instrumental variables estimator proposed for least squares can be applied to the...

Persistent link: https://www.econbiz.de/10009320381

Heterogenous intertemporal elasticity of substitution and relative risk aversion: estimation of optimal consumption choice with habit formation and measurement errors

Natalia, Khorunzhina; Wayne Roy, Gayle - Volkswirtschaftliche Fakultät, … - 2011

consumption using data from the Panel Study of Income Dynamics. Our method accounts for classical measurement errors in … consumption without parametric assumptions on the distribution of measurement errors. The estimation results support habit … intertemporal elasticity of substitution and relative risk aversion that account for measurement errors and compute asymptotically …

Persistent link: https://www.econbiz.de/10009353832

Desynchronized; The Comovement of Non-Hydrocarbon Business Cycles in the GCC

Cevik, Serhan - International Monetary Fund (IMF) - 2011

This paper investigates the empirical characteristics of business cycles and the extent of cyclical comovement in the Gulf Cooperation Council (GCC) countries, using various measures of synchronization for non-hydrocarbon GDP and constituents of aggregate demand during the period 1990-2010. By...

Persistent link: https://www.econbiz.de/10009401204

Modelling and Forecasting Noisy Realized Volatility

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - Facultad de Ciencias Económicas y Empresariales, … - 2011

other measurement errors. Such noise is called “realized volatility error”. As such errors are ignored, we need to take …

Persistent link: https://www.econbiz.de/10008915753

Prediction-based estimating functions: review and new developments

Sørensen, Michael - School of Economics and Management, University of Aarhus - 2011

includes diffusions observed with measurement errors, integrated diffusions, stochastic volatility models, and hypoelliptic …

Persistent link: https://www.econbiz.de/10008802538

Modelling and Forecasting Noisy Realized Volatility

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - Institute of Economic Research, Kyoto University - 2011

other measurement errors. Such noise is called "realized volatility error". Since such errors are ignored, we need to take …

Persistent link: https://www.econbiz.de/10008828715

Modelling and Forecasting Noisy Realized Volatility

Asai, M.; McAleer, M.J.; Medeiros, M. - Erasmus University Rotterdam, Econometric Institute - 2011

other measurement errors. Such noise is called â€œrealized volatility errorâ€. Since such errors are ignored, we need to …

Persistent link: https://www.econbiz.de/10008833191

Identifying Fiscal Policy Transmission in Stochastic Debt Forecasts

Kawakami, Kei; Romeu, Rafael - International Monetary Fund (IMF) - 2011

A stochastic debt forecasting framework is presented where projected debt distributions reflect both the joint realization of the fiscal policy reaction to contemporaneous stochastic macroeconomic projections, and also the second-round effects of fiscal policy on macroeconomic projections. The...

Persistent link: https://www.econbiz.de/10009019604

Continuous-time modelling with spatial dependence

Oud, Johannes H. L.; Folmer, Henk; Patuelli, Roberto; … - 2011

Persistent link: https://www.econbiz.de/10009720763