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State-dependent or time-dependent pricing? New evidence from a monthly firm-level survey: 1980-2017
Dixon, Huw; Grimme, Christian - 2021
We examine the relative importance of time and state dependence in the price-setting decisions of firms using a monthly panel of German firms over the period 1980-2017. We propose a refined version of time dependence by introducing different hazard functions for price increases and decreases. We...
Persistent link: https://www.econbiz.de/10012876011
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Bank productivity in China 1997 - 2007: An exercise in measurement
Matthews, Kent; Zhang, Nina - 2009
intervals, using a bootstrap method for the Malmquist index. The study adjusts for the quality of the output by accounting for …
Persistent link: https://www.econbiz.de/10010288751
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Some problems in the testing of DSGE models
Minford, Patrick; Wickens, Michael - 2009
We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments and other features with data equivalents. We note that they select, scale and characterise the shocks without reference to the data; crucially they fail to use the joint distribution of the...
Persistent link: https://www.econbiz.de/10010288773
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Bootstrap DEA and hypothesis testing
Tziogkidis, Panagiotis - 2012
requirements that are not always obvious to the non-expert user. Bootstrap DEA is a significant development of the past decade …, which could be extended to test almost any hypothesis in bootstrap DEA. Moreover, it enhances the intuition behind bootstrap …
Persistent link: https://www.econbiz.de/10010288774
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Two orthogonal continents: Testing a two-country DSGE model of the US and the EU using indirect inference
Meenagh, David; Meenagh, David; Minford, Patrick; … - 2009
We examine a two country model of the EU and the US. Each has a small sector of the labour and product markets in which there is wage/price rigidity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using a VAR to represent the data, we find the model as a whole...
Persistent link: https://www.econbiz.de/10010288793
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Post-crisis cost efficiency of Jamaican banks
Daley, Jenifer; Matthews, Kent; Zhang, Tiantian - 2011
to survive. We employ the Simar-Wilson (2007) two-step double bootstrap Data Envelopment Analysis method to measure …
Persistent link: https://www.econbiz.de/10010288796
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Why crises happen: Nonstationary macroeconomics
Davidson, James; Meenagh, David; Minford, Patrick; … - 2010
A Real Business Cycle model of the UK is developed to account for the behaviour of UK nonstationary macro data. The model is tested by the method of indirect inference, bootstrapping the errors to generate 95% confidence limits for a VECM representation of the data; we find the model can explain...
Persistent link: https://www.econbiz.de/10010288799
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Testing DSGE models by indirect inference and other methods: Some Monte Carlo experiments
Meenagh, David; Minford, Patrick; Wickens, Michael - 2012
Using Monte Carlo experiments, we examine the performance of Indirect Inference tests of DSGE models, usually versions of the Smets-Wouters New Keynesian model of the US postwar period. We compare these with tests based on direct inference (using the Likelihood Ratio), and on the Del...
Persistent link: https://www.econbiz.de/10010288818
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Monte Carlo experiments on bootstrap DEA
Tziogkidis, Panagiotis - 2012
Since the introduction of bootstrap DEA there is a growing literature on applications which use this method, mainly for … hypothesis testing. It is therefore important to establish the consistency and evaluate the performance of bootstrap DEA. The few … coverage probabilities are not a good tool of assessment. In our study we evaluate the performance of bootstrap DEA using the …
Persistent link: https://www.econbiz.de/10010288834
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The 'puzzles' methodology: En route to indirect inference?
Minford, Patrick; Wickens, Michael - 2009
We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments with data moments. We compare these with the method of Indirect Inference to which they are closely related. We illustrate the comparison with contrasting assessments of a two-country model in...
Persistent link: https://www.econbiz.de/10010288836