Across many fields in economics, a common approach to estimation of economic models is to calibrate a sub-set of model parameters and keep them fixed when estimating the remaining parameters. Calibrated parameters likely affect conclusions based on the model but estimation time often makes a...

We propose a dynamic factor model which we use to analyze the relationship between education participation and national unemployment, as well as to forecast the number of students across the many different types of education. By clustering the factor loadings associated with the dynamic...

We propose a modelling approach involving a series of small-scale factor models. They are connected to each other within a cluster, whose linkages are derived from Granger-causality tests. GDP forecasts are established across the production, income and expenditure accounts within a disaggregated...

This paper develops a method to flexibly adapt interpolation grids of value function approximations in the estimation of dynamic models using either NFXP (Rust, 1987) or MPEC (Su and Judd, 2012). Since MPEC requires the grid structure for the value function approximation to be hard-coded into...

We discuss some conceptual and practical issues that arise from the presence of global energy balance effects on station level adjustment mechanisms in dynamic panel regressions with climate data. The paper provides asymptotic analyses, observational data computations, and Monte Carlo...

This paper develops identification and estimation methods for dynamic structural models when agents' actions are unobserved by econometricians. We provide conditions under which choice probabilities and latent state transition rules are nonparametrically identified with a continuous state...

The dynamic factor Markov-switching (DFMS) model introduced by Chauvet (1998) has proven to be a powerful framework to measure the business cycle. We extend the DFMS model by allowing for time-varying transition probabilities, with the aim of accelerating the real-time dating of turning points...