This paper shows how a high level matrix programming language may be used to perform Monte Carlo simulation, bootstrapping, estimation by maximum likelihood and GMM, and kernel regression in parallel on symmetric multiprocessor computers or clusters of workstations. The implementation of...

The problem of choosing optimal investment and consumption strategies has been widely studied. In continuous time theory the pioneering work by Merton (1969) is a standard reference. In his work, Merton studied a continuous time economy with constant investment opportunities. Since then Merton's...

We discuss the identification and estimation of discrete games with complete information. Following Bresnahan and Reiss, a discrete game is defined to be a generalization of a standard discrete choice model in which utility depends on the actions of other players. Using recent algorithms that...

Fully specified DSGE models are increasingly successful in explaining observed macroeconomic data. Thinking about the specification of a certain equation in a DSGE approach has the drawback of imposing many implicit priors on the specification of the remaining equations. Mis-specifications in...

We estimate a small open economy DSGE model for the euro area. The household sector optimises an intertemporal utility function with habit persistence. Households decide about asset accumulation, consumption and sets wages in a monopolistically competitive labour market. Households trade bonds...

In time series analysis, tests for serial independence, symmetry, and goodness-of-fit based on divergence measures, such as the Kullback-Leibler divergence or Hellinger distance are currently receiving much interest (see Granger, Maasoumi, Racine (2004) as a recent example). We consider...

Computing power now allows empirical researchers to use intensive computing estimation techniques with nonlinear panel-data models. Maximum Likelihood estimation is often cumbersome, if not analytically intractable, when dealing with such models. Even the simple calculation of the likelihood...

As information technology (IT) and services become more prevalent within the enterprise, the burden of greater expertise on computer technology falls on companies whose primary mission may not be information technology management. This has led to the emergence of computation resource services...

This paper deals with the analysis of a nonlinear time series model of the effects of advertising. Given the nonlinear nature of the process it is not possible to rely on the asymptotic inference. Furthermore, we can not provide an (asymptotic) pivotal statistic. Our solution is the application...

This paper contributes to the development of recent literature on the explanation power and calibration issue of heterogeneous asset pricing models by presenting a simple stochastic market fraction asset pricing model of two types of traders (fundamentalists and trend followers) under a market...