Showing 1 - 10 of 26
Which provides a better estimate of the "true" state of the U.S. economy, gross domestic product (GDP) or gross domestic income (GDI)? Past work has assumed the difference between each estimate and the "true" state of the economy is pure noise, taking greater variability to imply lower...
Persistent link: https://www.econbiz.de/10005393845
This work estimates Markov switching models on real time data and shows that the growth rate of gross domestic income (GDI), deflated by the GDP deflator, has done a better job recognizing the start of recessions than has the growth rate of real GDP. This result suggests that placing an...
Persistent link: https://www.econbiz.de/10005393934
This paper discusses extensions of standard Markov switching models that allow estimated probabilities to reflect parameter breaks at or close to the end of the sample, too close for standard maximum likelihood techniques to produce precise parameter estimates. The basic technique is a...
Persistent link: https://www.econbiz.de/10005393969
Persistent link: https://www.econbiz.de/10010900579
This paper studies measurement errors that subtract signal from true variables of interest, labeled lack of signal errors (LoSE). The effect on OLS regression of LoSE is opposite the conventional wisdom about classical measurement errors, with LoSE in the dependent variable, not the explanatory...
Persistent link: https://www.econbiz.de/10010784175
This paper proposes a simple generalization of the classical measurement error model, introducing new measurement errors that subtract signal from the true variable of interest, in addition to the usual classical measurement errors (CME) that add noise. The effect on OLS regression of these lack...
Persistent link: https://www.econbiz.de/10005721097
Persistent link: https://www.econbiz.de/10005180662
This paper studies the behavior of producers of capital goods, examining how they set shipments in response to fluctuations in new orders. The paper establishes a stylized fact: the response of shipments to orders is more pronounced when the level of new orders is low relative to the level of...
Persistent link: https://www.econbiz.de/10010551247
Persistent link: https://www.econbiz.de/10010611195
This paper incorporates vintage differences and forecasts into the Markov switching models described by Hamilton (1994). The vintage differences and forecasts induce parameter breaks close to the end of the sample, too close for standard maximum likelihood techniques to produce precise parameter...
Persistent link: https://www.econbiz.de/10010573812