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The Impact of Uncertainty on Investment: A Meta-Analysis

Koetse, Mark J.; Groot, Henri L.F. de; Florax, Raymond … - Tinbergen Institute - 2006

In this paper we perform a meta-analysis on empirical estimates of the impact between investment and uncertainty. Since the outcomes of primary studies are largely incomparable with respect to the magnitude of the effect, our analysis focuses on the direction and statistical significance of the...

Persistent link: https://www.econbiz.de/10005137096

Capital-Energy Substitution and Shifts in Factor Demand: A Meta-Analysis

Koetse, Mark J.; Groot, Henri L.F. de; Florax, Raymond … - Tinbergen Institute - 2006

This paper presents results of a meta-regression analysis on empirical estimates of capital-energy substitution. Theoretically it is clear that a distinction should be made between Morishima substitution elasticities and cross-price elasticities. The former represent purely technical...

Persistent link: https://www.econbiz.de/10005144446

A Weak Bifurcation Theory for Discrete Time Stochastic Dynamical Systems

Diks, Cees; Wagener, Florian - Tinbergen Institute - 2006

This article presents a bifurcation theory of smooth stochastic dynamical systems that are governed by everywhere positive transition densities. The local dependence structure of the unique strictly stationary evolution of such a system can be expressed by the ratio of joint and marginal...

Persistent link: https://www.econbiz.de/10005136879

Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Institute - 2008

We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted...

Persistent link: https://www.econbiz.de/10005137187

Testing for Nonlinear Structure and Chaos in Economic Time. A Comment.

Hommes, Cars; Manzan, Sebastiano - Tinbergen Institute - 2006

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include...

Persistent link: https://www.econbiz.de/10005144529

Interest Rate Rules and Macroeconomic Stability under Heterogeneous Expectations

Anufriev, Mikhail; Assenza, Tiziana; Hommes, Cars; … - Tinbergen Institute

of monetary policy. We use a stylized macro model of Howitt (1992) to investigate inflation dynamics under alternative … interest rate in response to inflation. In particular, if the monetary authority only responds weakly to inflation, a … cumulative process with rising inflation is likely. On the other hand, a Taylor interest rate rule that sets the interest rate …

Persistent link: https://www.econbiz.de/10005016263