Linear rational-expectations models (LREMs) are conventionally "forwardly" estimated as follows. Structural coefficients are restricted by economic restrictions in terms of deep parameters. For given deep parameters, structural equations are solved for "rational-expectations solution" (RES)...

Linear rational-expectations models (LREMs) are usually "forwardly" estimated. Structural coefficients are restricted in terms of deep parameters. For given deep parameters, structural equations are solved for rational-expectations solution (RES) eqs. that determine endogenous variables. For...

A univariate GARCH(p,q) process is quickly transformed to a univariate autoregressive moving-average process in squares of an underlying variable. For positive integer m, eigenvalue restrictions have been proposed as necessary and sufficient restrictions for existence of a unique mth moment of...

Production capital and technology, fundamental to understanding output and productivity growth, are unobserved except at disaggregated levels and must be estimated prior to being used in empirical analysis. We develop and apply a new estimation method, based on advances in economics, statistics,...

We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...

Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...

Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...

Well known CPI of urban consumers is never revised. Recently initiated chained CPI is initially released every month (ICPI), for that month without delay within BLS and for the previous month with one month delay to the public. Final estimates of chained CPI (FCPI) are released every February...

This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS-GARCH) to accommodate fat tails, volatility...

We investigate the use of a P-spline generalized additive hedonic model (GAM) for real estate prices in large U.S. cities, contrasting their predictive efficiency against commonly used linear and polynomial-based generalized linear models (GLM). Using intrinsic and extrinsic factors available...