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Comparing Semi-Structural Methods to Estimate Unobserved Variables : The HPMV and Kalman Filters Approaches

Boone, Laurence - 2000

commonly used as a measure of excess demand in assessing inflation pressures. To estimate these unobserved variables, a popular …

Persistent link: https://www.econbiz.de/10012445291

Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic … chapter is motivated by the principle that, whenever possible, estimation methods should rely on routines available in … sampling inherent in survey longitudinal data, (3) incorporation of predetermined variables in estimation, and (4 …

Persistent link: https://www.econbiz.de/10014024953

Improving the estimation and predictions of small time series models

Liu-Evans, Gareth - In: Journal of time series econometrics 15 (2023) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10014288356

Local Projections

Jordà, Òscar; Taylor, Alan M. - National Bureau of Economic Research - 2024

A central question in applied research is to estimate the effect of an exogenous intervention or shock on an outcome. The intervention can affect the outcome and controls on impact and over time. Moreover, there can be subsequent feedback between outcomes, controls and the intervention. Many of...

Persistent link: https://www.econbiz.de/10015056147

Chapter 11 Forecasting with Trending Data

Elliott, Graham - 2006

nonstationary or near nonstationary predictors. Unconditionally, the contribution of parameter estimation error to expected loss is … long run. Estimation of parameters for most models dominates imposing a unit root. It is for these models that the effects …

Persistent link: https://www.econbiz.de/10014023695

Analysis of multiple long run relations in panel data models with applications to financial ratio

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2025

linkages. To our knowledge, no other estimation procedure exists for this setting. We show the PME estimator is consistent and …

Persistent link: https://www.econbiz.de/10015409539

Chapter 8 Forecasting economic variables with nonlinear models

Teräsvirta, Timo - 2006

building are parameter estimation and evaluation that are also briefly considered. There are two possibilities of generating …

Persistent link: https://www.econbiz.de/10014023698

Chapter 4 The new empirics of economic growth

Durlauf, Steven N.; Quah, Danny T. - In: Handbook of macroeconomics : volume 1, part A, (pp. 235-308). 1999

We provide an overview of recent empirical research on patterns of cross-country growth. The new empirical regularities considered differ from earlier ones, e.g., the well-known Kaldor stylized facts. The new research no longer makes production function accounting a central part of the analysis....

Persistent link: https://www.econbiz.de/10014024246

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

The franc shock and Swiss GDP : how long does it take to start feeling the pain?

Siliverstovs, Boriss - 2015

The paper addresses the question on what is the typical time horizon over which a full transmission of movements in the real exchange rate into real economy takes place. To this end, we base our analysis on the mixed-frequency small-scale dynamic factor model of Siliverstovs (2012) fitted to the...

Persistent link: https://www.econbiz.de/10010482019