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An alternative explanation of the prize puzzle
Giordani, Paolo - 2001
This paper proposes a simple explanation for the frequent appearance of a price puzzle in VARs designed for monetary policy analysis. It suggests that the best method of solving the puzzle implies a close connection between theory and empirics rather than the introduction of a commodity price....
Persistent link: https://www.econbiz.de/10010281167
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An alternative explanation of the price puzzle
Giordani, Paolo - Economics Institute for Research (SIR), … - 2000
This paper proposes a simple explanation for the frequent appearance of a price puzzle in VARs designed for monetary policy analysis. It suggests that the best method of solving the puzzle implies a close connection between theory and empirics rather than the introduction of a commodity price....
Persistent link: https://www.econbiz.de/10005423778
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Swedish Export Price Determination: Pricing to Market Shares?
Adolfson, Malin - Economics Institute for Research (SIR), … - 1999
The Swedish export price determination for automobiles and kraft paper to three destination countries, over the period 1980-1994, is investigated. Formal tests on an error correction model indicate results consistent with price discrimination in Swedish exports of both goods. The exporters use...
Persistent link: https://www.econbiz.de/10005649427
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Finding all minimal CURB sets
Klimm, Max; Weibull, Jörgen W. - 2009
Sets closed under rational behavior were introduced by Basu and Weibull (1991) as subsets of the strategy space that contain all best replies to all strategy profiles in the set. We here consider a more restrictive notion of closure under rational behavior: a subset of the strategy space is...
Persistent link: https://www.econbiz.de/10010281178
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Parametric covariance matrix modeling in Bayesian panel regression
Salabasis, Mickael - 2004
The full Bayesian treatment of error component models typically relies on data augmentation to produce the required inference. Never stricly necessary a direct approach is always possible though not necessarily practical. The mechanics of direct sampling are outlined and a template for including...
Persistent link: https://www.econbiz.de/10010281263
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A method to generate multivariate data with moments arbitrary close to the desired moments
Lyhagen, Johan - 2001
We show how it is possible to generate multivariate data which have moments arbitrary close to the desired ones. They are generated as linear combinations of variables with known theoretical moments. It is shown how to derive the weights of the linear combinations in both the univariate and the...
Persistent link: https://www.econbiz.de/10010281300
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Adaptive hybrid Metropolis-Hastings samplers for DSGE models
Strid, Ingvar; Giordani, Paolo; Kohn, Robert - 2010
Bayesian inference for DSGE models is typically carried out by single block random walk Metropolis, involving very high … large computational gains in DSGE model estimation. The history of the draws is used to continuously improve a t … linear estimation applications to a medium scale (23 parameters) and a large scale (51 parameters) DSGE model, the computing …
Persistent link: https://www.econbiz.de/10010281400
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Gain, loss, and asset pricing: It is much easier ; a note
Longarela, Iñaki R. - 2000
Bernardo and Ledoit (2000) develop a very appealing framework to compute pricing bounds based on the so-called gain-loss ratio. Their method has many advantages and very interesting properties and so far one important drawback: the complexity of the numerical computation of the pricing bounds....
Persistent link: https://www.econbiz.de/10010281414
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A new approach to the derivation of asset price bounds
Longarela, Iñaki R. - 2001
In a two-period setup we develop a generalization of good-deal bounds that allows to include in the problem the implications of asset pricing models. Our basis is the distance behind Hansen and Jagannathan's measure of model misspecification since a volatility constraint on the stochastic...
Persistent link: https://www.econbiz.de/10010281435
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Metropolis-Hastings prefetching algorithms
Strid, Ingvar - 2008
of DSGE models, linearly or nonlinearly approximated, is identi…ed as a potential area of application for …
Persistent link: https://www.econbiz.de/10010281448