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Reference Cycles: The NBER Methodology Revisited

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2000

This paper proposes a new way to compute a coincident and a leading index of economic activity. The method provides a unified approach for the selection of the coincident and the leading variables, for averaging them into coincident and leading indexes and for the identification of turning...

Persistent link: https://www.econbiz.de/10005136502

Dots to Boxes: Do the Size and Shape of Spatial Units Jeopardize Economic Geography Estimations?

Briant, Anthony; Combes, Pierre-Philippe; Lafourcade, Miren - C.E.P.R. Discussion Papers - 2008

This paper evaluates, in the context of economic geography estimates, the magnitude of the distortions arising from the choice of zoning system, which is also known as the Modifiable Areal Unit Problem (MAUP). We consider three standard economic geography exercises (the analysis of spatial...

Persistent link: https://www.econbiz.de/10005792469

The U.S. Business Cycle, 1867-1995: A Dynamic Factor Approach

Ritschl, Albrecht; Sarferaz, Samad; Uebele, Martin - C.E.P.R. Discussion Papers - 2008

This paper reexamines U.S. business cycle volatility since 1867. We employ dynamic factor analysis as an alternative to reconstructed national accounts. We find a remarkable volatility increase across World War I, which is reversed after World War II. While we can generate evidence of postwar...

Persistent link: https://www.econbiz.de/10005504432

Cross-Sectional Heterogeneity and the Persistence of Aggregate Fluctuations

Michelacci, Claudio - C.E.P.R. Discussion Papers - 2004

The micro evidence indicates that small firms grow faster than big firms. I argue that this relationship between the expected growth rate of a firm and its size may provide a micro foundation for the well-known high degree of persistence of shocks to aggregate output. The logic goes as follows....

Persistent link: https://www.econbiz.de/10005114433

Choosing the variables to estimate singular DSGE models

Canova, Fabio; Ferroni, Filippo; Matthes, Christian - C.E.P.R. Discussion Papers - 2013

We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables that optimizes parameter identification; the second the vector that minimizes the informational discrepancy between the...

Persistent link: https://www.econbiz.de/10011083464

Back to square one: identification issues in DSGE models

Canova, Fabio; Sala, Luca - C.E.P.R. Discussion Papers - 2009

We investigate identification issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model-based impulse responses. Observational equivalence, partial and weak identification problems are...

Persistent link: https://www.econbiz.de/10004990850

How much structure in empirical models?

Canova, Fabio - C.E.P.R. Discussion Papers - 2008

This chapter highlights the problems that structural methods and SVAR approaches have when estimating DSGE models and examining their ability to capture important features of the data. We show that structural methods are subject to severe identification problems due, in large part, to the nature...

Persistent link: https://www.econbiz.de/10005662393

Globalization and Business Cycle Transmission

Artis, Michael J; Okubo, Toshihiro - C.E.P.R. Discussion Papers - 2008

separate periods, those of the first globalization wave (1870 to 1914), the period of the “bloc economy” (1915 to 1959) and for … the period of the second globalization (1960-2001). Cluster analysis is applied and the McNemar test is used to test for … that features some well-defined sub-global clusters, where the second globalization period does not, the first …

Persistent link: https://www.econbiz.de/10005792022

Business Cycle Synchronization Since 1880

Artis, Michael J; Chouliarakis, George; Harischandra, PKG - C.E.P.R. Discussion Papers - 2011

This paper studies the international business cycle behaviour across 25 advanced and emerging market economies for which 125 years of annual GDP data are available. The picture that emerges is more fragmented than the one drawn by studies that focused on a narrower set of advanced market...

Persistent link: https://www.econbiz.de/10009003371

A cost-of-living dynamic price index, with an application to indexing retirement accounts

Reis, Ricardo - C.E.P.R. Discussion Papers - 2005

If a consumer wishes to protect her retirement account from the risk of price changes in order to sustain a stable standard of living, then what price index should the account be indexed to? This paper constructs a dynamic price index (DPI) that answers this question. Unlike the existing theory...

Persistent link: https://www.econbiz.de/10005504651