The existing literature on large dynamic factor models invariably assumes that the cross sectional covariance matrix is diagonal. This is due to the curse of dimensionality which means that many parameters need to be estimated for large data sets. This paper introduces a novel maximum likelihood...

We present a new class of methods for identification and inference in dynamic models with serially correlated unobservables, which typically imply that state variables are econometrically endogenous. In the context of Industrial Organization, these state variables often reflect econometrically...

1. General Introduction -- 2. Dynamics in Econometrics -- 3. Estimating the Model -- 4. Testing the Model -- 5. Non-Stationarity and Cointegration -- 6. Specifying the ARDL Model -- 7. Vector Autoregressions -- 8. Panel Data Models -- 9. Non-Stationary Panels -- 10. The Binary Qualitative Model.

Economic policies often involve dynamic interventions, where individuals receive repeated interventions over multiple periods. This dynamics makes past responses informative to predict future responses and ultimate outcomes depend on the history of interventions. Despite these phenomena,...

[Einleitung ...] In diesem Gutachten geben wir zunächst einen kurzen Überblick zu den wichtigsten Parametern der Garantierente. In Abschnitt 3 erläutern wir das methodische Vorgehen und stellen die Da-tengrundlage des Berichts vor. Abschnitt 4 beschäftigt sich mit dem verwendeten...

We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that this method only requires a desktop computer to solve high-dimensional finite- or infinite-horizon, stationary or nonstationary dynamic stochastic...

"An Introduction to Economic Dynamics provides a framework for students to appreciate and understand the basic intuition behind economic models and to experiment with those models using simulation techniques in MATLAB. This book goes beyond the often-limited scope of other texts on economic...