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Housing returns and intertemporal substitution in consumption: estimates for industrial economies
Pozzi, Lorenzo - 2022
This paper uses housing returns to estimate the elasticity of intertemporal substitution (EIS) in consumption for ….e., equity and bill returns. An estimable regression equation for aggregate consumption growth and returns is obtained from the … aggregation of the consumption Euler equations of heterogeneous agents. As the regression equation includes unobserved omitted …
Persistent link: https://www.econbiz.de/10013356500
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Estimation of linear models from coarsened observations: A method of moments approach
van Praag, Bernard M. S.; Hop, J. Peter; Greene, William - 2024
In the last few decades, the study of ordinal data in which the variable of interest is not exactly observed but only known to be in a specific ordinal category has become important. In Psychometrics such variables are analysed under the heading of item response models (IRM). In Econometrics,...
Persistent link: https://www.econbiz.de/10015209991
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Identification and Inference in a Simultaneous Equation under Alternative Information Sets and Sampling Schemes
Kiviet, Jan F. - 2012
In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...
Persistent link: https://www.econbiz.de/10010326338
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Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models
Callot, Laurent; Caner, Mehmet; Kock, Anders Bredahl; … - 2015
We propose a new estimator, the thresholded scaled Lasso, in high dimensional threshold regressions. First, we establish an upper bound on the <I>ℓ</I><SUB>∞</SUB> estimation error of the scaled Lasso estimator of Lee et al. (2012). This is a non-trivial task as the literature on high-dimensional models has...</sub></i>
Persistent link: https://www.econbiz.de/10010491399
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Robust Estimation of Probit Models with Endogeneity
Naghi, Andrea A.; Váradi, Máté; Zhelonkin, Mikhail - 2021
Probit models with endogenous regressors are commonly used models in economics and other social sciences. Yet, the robustness properties of parametric estimators in these models have not been formally studied. In this paper, we derive the influence functions of the endogenous probit model’s...
Persistent link: https://www.econbiz.de/10012427190
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Identification and Inference in a Simultaneous Equation Under Alternative Information Sets and Sampling Schemes
Kiviet, Jan F. - 2012
In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...
Persistent link: https://www.econbiz.de/10013097341
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A score-driven filter for causal regression models with time-varying parameters and endogenous regressors
Blasques, Francisco; Stegehuis, Noah - 2024
method in an application to aggregate consumption in macroeconomic data. …
Persistent link: https://www.econbiz.de/10014547828
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Identifying the Weights in Exchange Market Pressure
Klaassen, Franc - 2011
Exchange market pressure (EMP) measures the pressure on a currency to depreciate. It adds to the actual depreciation a weighted combination of policy instruments used to ward off depreciation, such as interest rates and foreign exchange interventions, where the weights are their effectiveness....
Persistent link: https://www.econbiz.de/10010325742
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Identifying the Weights in Exchange Market Pressure
Klaassen, Franc - 2011
Exchange market pressure (EMP) measures the pressure on a currencyto depreciate. It adds to the actual depreciation a weightedcombination of policy instruments used to ward off depreciation,such as interest rates and foreign exchange interventions, where theweights are their effectiveness. The...
Persistent link: https://www.econbiz.de/10010325985
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A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation
Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K. - 2012
A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed methods are robust in the sense that they can handle target distributions that exhibit non-elliptical shapes such as multimodality and skewness. The basic method makes use of...
Persistent link: https://www.econbiz.de/10010326223