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of reduction, summarizes the approach of general-to-specific modeling, and discusses the econometrics of model selection …This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an …, noting that general-to-specific modeling is the practical embodiment of reduction. This paper then summarizes fifty …
Persistent link: https://www.econbiz.de/10014062671
To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a...
Persistent link: https://www.econbiz.de/10011254953
Many economic models (such as the new-Keynesian Phillips curve, NKPC) include expected future values, often estimated after replacing the expected value by the actual future outcome, using Instrumental Variables or Generalized Method of Moments. Although crises, breaks and regime shifts are...
Persistent link: https://www.econbiz.de/10010555881
This paper shows how particle filtering allows us to undertake likelihood-based inference in dynamic macroeconomic models. The models can be nonlinear and/or non-normal. We describe how to use the output from the particle filter to estimate the structural parameters of the model, those...
Persistent link: https://www.econbiz.de/10005504323
We revisit the concept of unpredictability to explore its implications for forecasting strategies in a non-stationary world subject to structural breaks, where model and mechanism differ. Six aspects of the role of unpredictability are distinguished, compounding the four additional mistakes most...
Persistent link: https://www.econbiz.de/10005063638
for reasonable empirical modeling approximations. Finally, all three need forecasts of likely future outcomes to plan and …
Persistent link: https://www.econbiz.de/10012804940
To achieve net-zero greenhouse gas (GHG) emissions requires a dramatic energy transition from fossil fuels to renewables, as well as eliminating other sources of GHG emissions from agriculture, construction and waste. A comprehensive strategy should utilise five key sensitive intervention points...
Persistent link: https://www.econbiz.de/10014076650
This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed …
Persistent link: https://www.econbiz.de/10014048572
We assess the causal impact of epidemic-induced lockdowns on health and macroeconomic outcomes and measure the trade-off between containing the spread of an epidemic and economic activity. To do so, we estimate an epidemiological model with time-varying parameters and use its output as...
Persistent link: https://www.econbiz.de/10014078812
We present a general framework for Bayesian estimation and causality assessment in epidemiological models. The key to our approach is the use of sequential Monte Carlo methods to evaluate the likelihood of a generic epidemiological model. Once we have the likelihood, we specify priors and rely...
Persistent link: https://www.econbiz.de/10013227725