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Non-parametric identification and testing of quantal response equilibrium

Hoelzemann, Johannes; Webb, Ryan; Xie, Erhao - 2024 - Last updated: June 17, 2024

We study the falsifiability and identification of Quantal Response Equilibrium (QRE) when each player's utility and error distribution are relaxed to be unknown non-parametric functions. Using variations of players' choices across a series of games, we first show that both the utility function...

Persistent link: https://www.econbiz.de/10014563000

Parallel tempering for DSGE estimation

Brault, Joshua - 2024 - Last updated: May 10, 2024

In this paper, I develop a population-based Markov chain Monte Carlo (MCMC) algorithm known as parallel tempering to estimate dynamic stochastic general equilibrium (DSGE) models. Parallel tempering approximates the posterior distribution of interest using a family of Markov chains with tempered...

Persistent link: https://www.econbiz.de/10014558970

U.S. wage and price dynamics: a limited information approach

Sbordone, Argia M. - Federal Reserve Bank of New York - 2006

This paper analyzes the dynamics of prices and wages using a limited information approach to estimation. I estimate a … two-equation model for the determination of prices and wages derived from an optimization-based dynamic model in which … both goods and labor markets are monopolistically competitive; prices and wages can be reoptimized only at random intervals …

Persistent link: https://www.econbiz.de/10005420606

Analysis of final consumption and gross investment influence on GDP, multiple linear regression model

Anghelache, Constantin; Manole, Alexandru; Anghel, … - In: Theoretical and applied economics : GAER review 22 (2015) 3, pp. 137-142

Persistent link: https://www.econbiz.de/10011561705

Temporal aggregation and the estimation of reverse regressions for commodities market models

Cartwright, Phillip A.; Riabko, Natalija - 2024

Persistent link: https://www.econbiz.de/10015045561

An alternative estimate of Canadian potential output : the multivariate state-space framework

Pichette, Lise; Bernier, Maria; Robitaille, Marie-Noëlle - 2018

In this paper, we extend the state-space methodology proposed by Blagrave et al. (2015) and decompose Canadian potential output into trend labour productivity and trend labour input. As in Blagrave et al. (2015), we include output growth and inflation expectations from consensus forecasts to...

Persistent link: https://www.econbiz.de/10011942328

Composite likelihood estimation of an autoregressive panel probit model with random effects

Tuzcuoglu, Kerem - 2019

Modeling and estimating persistent discrete data can be challenging. In this paper, we use an autoregressive panel probit model where the autocorrelation in the discrete variable is driven by the autocorrelation in the latent variable. In such a non-linear model, the autocorrelation in an...

Persistent link: https://www.econbiz.de/10012000117

Handbook of financial econometrics, mathematics, statistics, and machine learning

Lee, Cheng F. (ed.); Lee, John C. (ed.) - 2021

, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance …

Persistent link: https://www.econbiz.de/10012061412

Generating reliable tourist accommodation statistics : bootstrapping regression model for overdispersed long-tailed data

Nguyen Van Truong; Shimizu, Tetsuo; Kurihara, Takeshi; … - In: Journal of Tourism, Heritage & Services Marketing : JTHSM 6 (2020) 2, pp. 30-37

Persistent link: https://www.econbiz.de/10012269025

ANOVA with Summary Statistics : A Stata Macro

Butt, Nadeem Shafique - 2011

some packages can perform one-way ANOVA after generating surrogate data from summary statistics. In this short note we have …

Persistent link: https://www.econbiz.de/10013125051