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Estimating Excess Sensitivity and Habit Persistence in Consumption Using Greenbook Forecast as an Instrument

Bhatt, Vipul - 2017

In this paper, we revisit the issue of excess sensitivity of consumption to income and address the weak instrument … consumption function, namely, the Greenbook forecast of real disposable income growth. We show that this instrument encompasses … this important parameter of the consumption function. Finally, we use a time-varying specification of consumption function …

Persistent link: https://www.econbiz.de/10012954085

Identifying the Weights in Exchange Market Pressure

Klaassen, Franc - 2011

Exchange market pressure (EMP) measures the pressure on a currencyto depreciate. It adds to the actual depreciation a weightedcombination of policy instruments used to ward off depreciation,such as interest rates and foreign exchange interventions, where theweights are their effectiveness. The...

Persistent link: https://www.econbiz.de/10010325985

A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation

Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K. - 2012

A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed methods are robust in the sense that they can handle target distributions that exhibit non-elliptical shapes such as multimodality and skewness. The basic method makes use of...

Persistent link: https://www.econbiz.de/10010326223

Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo

Zellner, Arnold (posthumously); Ando, Tomohiro; … - 2012

We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest under a flat prior and the potential of Direct Monte Carlo (DMC) approaches for efficient...

Persistent link: https://www.econbiz.de/10010326354

Bayesian analysis of instrumental variable models: The potential of direct Monte Carlo

Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - 2012

Persistent link: https://www.econbiz.de/10010326499

Bayesian Analysis of Instrumental Variable Models : Acceptance-Rejection within Direct Monte Carlo

Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - 2012

Persistent link: https://www.econbiz.de/10014165267

Mean Squared Prediction Error Reduction with Instrumental Variables

Michis, Antonis - 2016

The mean squared prediction error of the linear regression model is examined when estimation is performed with instrumental variables. It is shown that increasing the number of instruments in the estimation procedure, can reduce the mean squared prediction error of the model through more...

Persistent link: https://www.econbiz.de/10012985339

Bayesian analysis of instrumental variable models : the potential of direct Monte Carlo

Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - 2012

Persistent link: https://www.econbiz.de/10010191002

Bayesian analysis of instrumental variable models : acceptance-rejection within direct Monte Carlo

Zellner, Arnold; Ando, Tomohiro; Baştürk, Nalan; … - 2012

Persistent link: https://www.econbiz.de/10009722969

Contour Map of Estimation Error for Expected Shortfall

Kondor, Imre - 2015

The contour map of estimation error of Expected Shortfall (ES) is constructed. It allows one to quantitatively determine the sample size (the length of the time series) required by the optimization under ES of large institutional portfolios for a given size of the portfolio, at a given...

Persistent link: https://www.econbiz.de/10013027781