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widely used GMM estimators for the conditional AR(1) panel model are inconsistent under trending fixed effects sequences …. Next, we derive, justify, and compare restricted Fixed Effects GMM and (Q)ML estimators for this model. We find that the …
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We are comparing two approaches for stochastic volatility and jumps estimation in the EUR/USD time series - the non-parametric power-variation approach using high-frequency returns, and the parametric Bayesian approach (MCMC estimation of SVJD models) using daily returns. We find that both of...
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This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field.
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We propose a Bayesian approach to dynamic panel estimation in the presence of cross-sectional dependence and dynamic heterogeneity which is suitable for inference in short panels, unlike alternative estimators. Monte Carlo simulations indicate that our estimator produces less bias, and a lower...
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