Showing 1 - 10 of 185
improving the identification and estimation strategy. Using the German Socio-Economic Panel (1984-2001) we estimate the impact …
Persistent link: https://www.econbiz.de/10005498136
One reason why countries service their external debts is the fear that default might lead to shrinkage of international trade. If so, then creditors should systematically lend more to countries with which they share closer trade links. We develop a simple theoretical model to capture this...
Persistent link: https://www.econbiz.de/10005789181
The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor. This is justified by the observation that the pattern of...
Persistent link: https://www.econbiz.de/10011083279
We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new...
Persistent link: https://www.econbiz.de/10011083357
idiosyncratic errors of the panel. A remarkable result emerges. Under suitable regularity conditions the traditional principal …-sectional driven criteria suffice for consistent estimation of the number of factors, which is different from the traditional panel … data results. Finally, we also show that the panel data estimates improve upon the individual volatility estimates. …
Persistent link: https://www.econbiz.de/10011083764
This paper describes an algorithm to compute the distribution of conditional forecasts, i.e. projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large...
Persistent link: https://www.econbiz.de/10011084028
companies by using alternative frontier cost models for panel data. Thereby, the multidimensional performance estimation …
Persistent link: https://www.econbiz.de/10011084257
We propose a numerical method, based on indirect inference, for checking the identification of a DSGE model. Monte Carlo samples are generated from the model's true structural parameters and a VAR approximation to the reduced form estimated for each sample. We then search for a different set of...
Persistent link: https://www.econbiz.de/10011084568
We analyze peer e¤ects in sleeping behavior using a representative sample of U.S. teenagers from the National Longitudinal Survey of Adolescent Health. The sampling design of the survey causes the conventional 2SLS estimator to be inconsistent. We extend the NLS estimator in Wang and Lee...
Persistent link: https://www.econbiz.de/10011084656
This paper proposes an alternative specification for the second stage of the Case-Shiller repeat sales method. This specification is based on serial correlation in the deviations from the mean one-period returns on the underlying individual assets, whereas the original Case-Shiller method...
Persistent link: https://www.econbiz.de/10005034752