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Sequential estimation of structural models with a fixed point constraint

Kasahara, Hiroyuki; Shimotsu, Katsumi - 2008

This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...

Persistent link: https://www.econbiz.de/10010264523

Identification and Estimation of Heterogeneous Agent Models: A Likelihood Approach

Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2017

In this paper, we study the statistical properties of heterogeneous agent models with incomplete markets. Using a Bewley-Hugget-Aiyagari model we compute the equilibrium density function of wealth and show how it can be used for likelihood inference. We investigate the identifiability of the...

Persistent link: https://www.econbiz.de/10011777582

Rising to the Challenge: Bayesian Estimation and Forecasting Techniques for Macroeconomic Agent-Based Models

Delli Gatti, Domenico; Grazzini, Jakob - 2019

We propose two novel methods to “bring ABMs to the data”. First, we put forward a new Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time...

Persistent link: https://www.econbiz.de/10012141095

Rising to the Challenge : Bayesian Estimation and Forecasting Techniques for Macroeconomic Agent-Based Models

Delli Gatti, Domenico - 2019

We propose two novel methods to "bring ABMs to the data". First, we put forward a new Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time...

Persistent link: https://www.econbiz.de/10012860573

Government Spending Efficiency in Latin America

Afonso, António; Baquero Fraga, Gabriela - 2022

We assess the public spending efficiency of 20 Latin American countries over the period of 2000-2019, computing Data Envelopment Analysis efficiency scores. For the Public Sector Performance composite indicator, we use the annual data of socio-economic indicators, and for the input measure we...

Persistent link: https://www.econbiz.de/10013470354

Spurious Weather Effects

Lind, Jo Thori - 2015

Rainfall is a truly exogeneous variable and hence popular as an instrument for many outcomes. But by its very nature, rainfall in nearby areas tends to be correlated. I show theoretically that if there are also spatial trends in outcomes of interest, this may create spurious correlation. In...

Persistent link: https://www.econbiz.de/10010531836

Government Spending Efficiency in Latin America

Fraga, Gabriel Baquero; Afonso, António - 2022

Persistent link: https://www.econbiz.de/10014241608

Matching as a cure for underprovision of voluntary public good supply: Analysis and an example

Buchholz, Wolfgang; Cornes, Richard; Rübbelke, Dirk - 2011

Matching mechanisms are regarded as an important instrument to bring about Pareto optimal allocations in a public good … interior matching equilibrium, however, emerges only under very special conditions. But we show in this note that corner …

Persistent link: https://www.econbiz.de/10010274970

Potentially harmful international cooperation on global public good provision

Buchholz, Wolfgang; Cornes, Richard; Rübbelke, Dirk - 2012

-called matching approaches. Matching schemes are regarded as providing a promising approach to overcome undersupply of public goods … like climate protection. The functioning of matching mechanisms in a setting with an incomplete agreement, i.e. a contract … by analyzing incomplete matching agreements in the context of international climate protection. We analyse their effect …

Persistent link: https://www.econbiz.de/10010283595

Piracy of Digital Products: A Critical Review of the Economics Literature

Peitz, Martin; Waelbroeck, Patrick - 2003

with network effects are well-suited for the analysis of software copying while other models incorporating the feature that …

Persistent link: https://www.econbiz.de/10010315946