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Information-theoretic estimation of preference parameters : macroeconomic applications and simulation evidence

Gregory, Allan W.; Lamarche, Jean-Francois; Smith, Gregor W. - 2001 - First draft February 2000

This paper investigates the behaviour of estimators based on the Kullback-Leibler information criterion (KLIC), as an alternative to the generalized method of moments (GMM). We first study the estimators in a Monte Carlo simulation model of consumption growth with power utility. Then we compare...

Persistent link: https://www.econbiz.de/10009676158

Estimating linear quadratic models with integrated processes

Gregory, Allan W.; Pagan, Adrian R.; Smith, Gregor W. - 1990

Persistent link: https://www.econbiz.de/10000798412

Business cycle theory and econometrics

Gregory, Allan W. - In: The economic journal : the journal of the Royal … 105 (1995) 433, pp. 1597-1608

Persistent link: https://www.econbiz.de/10001333811

Sampling variability in Hansen-Jagannathan bounds

Gregory, Allan W. - In: Economics letters 38 (1992) 3, pp. 263-267

Persistent link: https://www.econbiz.de/10001123559

Calibration as testing : inference in simulated macroeconomic models

Gregory, Allan W. - In: Journal of business & economic statistics : JBES ; a … 9 (1991) 3, pp. 297-303

Persistent link: https://www.econbiz.de/10001108816

Realistic cross-country consumption correlations in a two-country, equilibrium, business cycle model

Devereux, Michael B. - In: Journal of international money and finance 11 (1992) 1, pp. 3-16

Persistent link: https://www.econbiz.de/10001117879

Measuring business cycles with business-cycle models

Gregory, Allan W. - In: Journal of economic dynamics & control 20 (1996) 6, pp. 1007-1025

Persistent link: https://www.econbiz.de/10001200772

Testing for forecast consensus

Gregory, Allan W.; Smith, Gregor W.; Yetman, James - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 1, pp. 34-43

Persistent link: https://www.econbiz.de/10001543435

Calibration as estimation

Gregory, Allan W. - In: Econometric reviews 9 (1990) 1, pp. 57-89

Persistent link: https://www.econbiz.de/10001094749

Calibration as testing : type I error in the equity premium puzzle

Gregory, Allan W.; Smith, Gregor W. - 1988

Persistent link: https://www.econbiz.de/10000125028

A service of the