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The Estimation of Linear Models with Future Rational Expectations by Efficient and Instrumental Variable Methods

Wickens, Michael R. - C.E.P.R. Discussion Papers - 1986

This paper considers the estimation of a number of commonly used single-equation linear models, all of which have … proposed in each case. The choice of estimation method is usually represented as a trade-off between efficiency on the one hand … of an efficient estimation method depends on whether or not the model has a unique solution and often this will not be …

Persistent link: https://www.econbiz.de/10005656310

Identifying the Sources of Model Misspecification

Inoue, Atsushi; Kuo, Chun-Hung; Rossi, Barbara - C.E.P.R. Discussion Papers - 2014

In this paper we propose empirical methods for detecting and identifying misspecifications in DSGE models. We introduce wedges in a DSGE model and identify potential misspecification via forecast error variance decomposition (FEVD) and marginal likelihood analyses. Our simulation results based...

Persistent link: https://www.econbiz.de/10011083456

Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach

Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2013

The U.S. Energy Information Administration regularly publishes short-term forecasts of the price of crude oil. Traditionally, such out-of-sample forecasts have been largely judgmental, making them difficult to replicate and justify, and not particularly successful when compared with naïve...

Persistent link: https://www.econbiz.de/10011084729

Forecast Combinations

Timmermann, Allan G - C.E.P.R. Discussion Papers - 2005

possibilities related to model misspecification, instability (non-stationarities) and estimation error in situations where the …

Persistent link: https://www.econbiz.de/10005662254

Monetary Policy in a Small Open Economy with a Preference for Robustness

Dennis, Richard; Leitemo, Kai; Söderström, Ulf - C.E.P.R. Discussion Papers - 2007

We use robust control techniques to study the effects of model uncertainty on monetary policy in an estimated, semi-structural, small-open-economy model of the U.K. Compared to the closed economy, the presence of an exchange rate channel for monetary policy not only produces new trade-offs for...

Persistent link: https://www.econbiz.de/10005136758

Disentangling Treatment Effects of Polish Active Labour Market Policies: Evidence from Matched Samples

Kluve, Jochen; Lehmann, Hartmut; Schmidt, Christoph M - C.E.P.R. Discussion Papers - 2002

treatment effect estimation can add considerable insight to the interpretation of results. …

Persistent link: https://www.econbiz.de/10005661546

Fatal Attraction? Access to Early Retirement and Mortality

Kuhn, Andreas; Wuellrich, Jean-Philippe; Zweimüller, Josef - C.E.P.R. Discussion Papers - 2010

We estimate the causal effect of early retirement on mortality for blue-collar workers. To overcome the problem of endogenous selection, we exploit an exogenous change in unemployment insurance rules in Austria that allowed workers in eligible regions to withdraw from the workforce up to 3.5...

Persistent link: https://www.econbiz.de/10008677238

Five Open Questions About Prediction Markets

Wolfers, Justin; Zitzewitz, Eric - C.E.P.R. Discussion Papers - 2006

Interest in prediction markets has increased in the last decade, driven in part by the hope that these markets will prove to be valuable tools in forecasting, decision-making and risk management - in both the public and private sectors. This paper outlines five open questions in the literature,...

Persistent link: https://www.econbiz.de/10005504341

Can Openness Deter Corruption? The Role of Foreign Direct Investment

Larrain B., Felipe; Tavares, José - C.E.P.R. Discussion Papers - 2007

The economics literature provides ample evidence that higher corruption discourages FDI inflows. In this paper we address, for the first time in the literature in a systematic way, the exact reverse link, i.e., the empirical effect of FDI inflows on corruption. We present a simple model that...

Persistent link: https://www.econbiz.de/10005504415

Childhood Family Structure and Schooling Outcomes: Evidence for Germany

Francesconi, Marco; Jenkins, Stephen P; Siedler, Thomas - C.E.P.R. Discussion Papers - 2005

We analyse the impact on schooling outcomes of growing up in a family headed by a single mother. Growing up in a non-intact family in Germany is associated with worse outcomes in models that do not control for possible correlations between common unobserved determinants of family structure and...

Persistent link: https://www.econbiz.de/10005498067