Search Results - subject:"Model estimation"

An evaluation of alternative methods used in the estimation of Gaussian term structure models

Juneja, Januj - In: Review of quantitative finance and accounting 44 (2015) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10011327670

Matching theory and data: Bayesian vector autoregression and dynamic stochastic general equilibrium models

Kriwoluzky, Alexander - 2008

This paper shows how to identify the structural shocks of a Vector Autore-gression (VAR) while at the same time estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data generating process. It proposes a framework to estimate the parameters of the...

Persistent link: https://www.econbiz.de/10010263747

Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models

Kriwoluzky, Alexander - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

: Bayesian Model Estimation, Vector Autoregression, Identification. I am indebted to Harald Uhlig, Chris Sims and Bartosz … similar to Christiano, Eichen- baum, and Evans (2005) and to the simulation based model estimation in Mertens and Ravn (2008 … estimated while it is not assumed to be a proper representation of the data generating process. One challenge in DSGE model …

Persistent link: https://www.econbiz.de/10005652775

Politics-Business Interaction Paths

Belloc, Marianna; Pagano, Ugo - Dipartimento di Economia e Diritto, Facoltà di Economia - 2008

Countries characterized by strong workersâ€™ political rights tend to exhibit a strong and concentrated corporate ownership structure. One explanation is that employees' political rights influence corporate governance: systems characterised by strong employees' rights tend to be balanced by...

Persistent link: https://www.econbiz.de/10009649943

Factors affecting participation in joint forest management in the West Bengal state of India

Jana, Sebak Kumar; Lise, Wietze; Ahmed, Mamtajuddin - In: Journal of Forest Economics 20 (2014) 4, pp. 317-332

This study analyses participation in joint forest management (JFM). The study is based on in-depth interviews with 150 households of Forest Protection Committees (FPC) in Paschim Medinipur district in the West Bengal state of India. Based on a Principal Component Analysis (PCA) of 14...

Persistent link: https://www.econbiz.de/10011116784

Toward a Taylor Rule for Fiscal Policy

Kliem, Martin; Kriwoluzky, Alexander - In: Review of Economic Dynamics 17 (2014) 2, pp. 294-302

In DSGE models, fiscal policy is typically described by simple rules in which tax rates respond to the level of output. We show that there is only weak empirical evidence in favor of such specifications in U.S. data. Instead, the cyclical movements of labor and capital income tax rates are...

Persistent link: https://www.econbiz.de/10010744706

Estimating a model of airline passenger choice using grouped booking data and least squares regression

Carrier, Emmanuel; Weatherford, Larry - In: Journal of revenue and pricing management 13 (2014) 5, pp. 347-353

Persistent link: https://www.econbiz.de/10010506924

Toward a Taylor rule for fiscal policy

Kliem, Martin; Kriwoluzky, Alexander - In: Review of economic dynamics 17 (2014) 2, pp. 294-302

Persistent link: https://www.econbiz.de/10010473573

Factors affecting participation in joint forest management in the West Bengal state of India

Jana, Sebak Kumar; Lise, Wietze; Ahmed, Mamtajuddin - In: Journal of forest economics : JFE 20 (2014) 4, pp. 317-332

Persistent link: https://www.econbiz.de/10010516800

Optimal policy under model uncertainty: A structural-bayesian estimation approach

Kriwoluzky, Alexander; Stoltenberg, Christian - 2007

In this paper we propose a novel methodology to analyze optimal policies under model uncertainty in micro-founded macroeconomic models. As an application we assess the relevant sources of uncertainty for the optimal conduct of monetary policy within (parameter uncertainty) and across models...

Persistent link: https://www.econbiz.de/10010265665