Similar Search Results

How important is the credit channel? An empirical study of the US banking crisis

Liu, Chunping; Minford, Patrick - C.E.P.R. Discussion Papers - 2012

We examine whether by adding a credit channel to the standard New Keynesian model we can account better for the behaviour of US macroeconomic data up to and including the banking crisis. We use the method of indirect inference which evaluates statistically how far a model’s simulated behaviour...

Persistent link: https://www.econbiz.de/10011084294

Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability

Lettau, Martin; van Nieuwerburgh, Stijn - C.E.P.R. Discussion Papers - 2005

Evidence of stock return predictability by financial ratios is still controversial as documented by inconsistent results for in-sample and out-of-sample regressions as well as substantial parameter instability. This paper shows that these seemingly incompatible results can be reconciled if the...

Persistent link: https://www.econbiz.de/10005661523

Challenges and Opportunities for Resource Rich Economies

van der Ploeg, Frederick - C.E.P.R. Discussion Papers - 2006

The political economy of resource rich countries is surveyed. The empirical evidence suggests that countries with a large share of primary exports in GNP have bad growth records and high inequality, especially if the quality of institutions and the rule of law are bad. The economic argument that...

Persistent link: https://www.econbiz.de/10005661592

Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach

Peñaranda, Francisco; Sentana, Enrique - C.E.P.R. Discussion Papers - 2004

and sequences of local alternatives, and analyse their asymptotic relative efficiency. We also extend the theory of …

Persistent link: https://www.econbiz.de/10005791800

Interaction Effects in Econometrics

Ozer-Balli, Hatice; Sørensen, Bent E - C.E.P.R. Discussion Papers - 2010

We provide practical advice for applied economists regarding specification and interpretation of linear regression models with interaction terms.

Persistent link: https://www.econbiz.de/10008554222

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

Peñaranda, Francisco; Sentana, Enrique - C.E.P.R. Discussion Papers - 2010

Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...

Persistent link: https://www.econbiz.de/10008466351

Volatility, Financial Development and the Natural Resource Curse

Poelhekke, Steven; van der Ploeg, Frederick - C.E.P.R. Discussion Papers - 2007

Cross-country evidence is presented on resource dependence and the link between volatility and growth. First, growth … depends negatively on volatility of unanticipated output growth independent of initial income per capita, the average … growth. Second, the adverse effect of resources on growth operates primarily through higher volatility. The positive effect …

Persistent link: https://www.econbiz.de/10005123919

Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - C.E.P.R. Discussion Papers - 2009

We examine a two country model of the EU and the US. Each has a small sector of the labour and product markets in which there is wage/price rigidity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using a VAR to represent the data, we find the model as a whole...

Persistent link: https://www.econbiz.de/10004973965

Small sample performance of indirect inference on DSGE models

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - C.E.P.R. Discussion Papers - 2015

Using Monte Carlo experiments, we examine the performance of indirect inference tests of DSGE models in small samples, using various models in widespread use. We compare these with tests based on direct inference (using the Likelihood Ratio). We find that both tests have power so that a...

Persistent link: https://www.econbiz.de/10011165662

Testing macroeconomic models by indirect inference on unfiltered data

Meenagh, David; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2012

We extend the method of indirect inference testing to data that is not filtered and so may be non-stationary. We apply the method to an open economy real businss cycle model on UK data. We review the method using a Monte Carlo experiment and find that it performs accurately and has good power.

Persistent link: https://www.econbiz.de/10011083255