Search Results - subject_exact:"Dynamische Ökonometrie"

Maximum likelihood estimation of dynamic factor models using general cross sectional covariance

Spencer, Tom - 2024

The existing literature on large dynamic factor models invariably assumes that the cross sectional covariance matrix is diagonal. This is due to the curse of dimensionality which means that many parameters need to be estimated for large data sets. This paper introduces a novel maximum likelihood...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015374738

Identifying beliefs in continuous-action dynamic models : an application to the U.S. SO2 allowance market

Chen, Cuicui - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015395251

An instrumental variable approach to dynamic models

Berry, Steven; Compiani, Giovanni - 2020

We present a new class of methods for identification and inference in dynamic models with serially correlated unobservables, which typically imply that state variables are econometrically endogenous. In the context of Industrial Organization, these state variables often reflect econometrically...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012312899

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An Instrumental Variable Approach to Dynamic Models

Berry, Steven; Compiani, Giovanni - 2023

Book / Working Paper

An Instrumental Variable Approach to Dynamic Models

Berry, Steven - 2020

Book / Working Paper

An Instrumental Variable Approach to Dynamic Models

Berry, Steven - 2020

Book / Working Paper

Characterizing Optimality in Dynamic Settings : A Monotonicity-based Approach

Huang, Zhuokai; Pouzo, Demian; Rodríguez-Clare, Andrés - 2025

We develop a novel analytical method for studying optimal paths in dynamic optimization problems under general monotonicity conditions. The method centers on a locator function--a simple object constructed directly from the model's primitives--whose roots identify interior steady states and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464393

Dynamic Econometrics : Models and Applications

Bismans, Francis; Damette, Olivier - 2025

1. General Introduction -- 2. Dynamics in Econometrics -- 3. Estimating the Model -- 4. Testing the Model -- 5. Non-Stationarity and Cointegration -- 6. Specifying the ARDL Model -- 7. Vector Autoregressions -- 8. Panel Data Models -- 9. Non-Stationary Panels -- 10. The Binary Qualitative Model.

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015206755

Dynamic Targeting : Experimental Evidence from Energy Rebate Programs

Ida, Takanori; Ishihara, Takunori; Ito, Koichiro; Kido, … - 2024

Economic policies often involve dynamic interventions, where individuals receive repeated interventions over multiple periods. This dynamics makes past responses informative to predict future responses and ultimate outcomes depend on the history of interventions. Despite these phenomena,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014576590

Partial-implementation invariance and claims problems

Dietzenbacher, Bas; Tamura, Yuki; Thomson, William - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015186017

Einkommenswirkung und fiskalische Kosten der grünen Garantierente

Geyer, Johannes; Buslei, Hermann - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012600202

An introduction to economic dynamics : modelling, analysis and simulation

Raghavendra, Srinivas; Piiroinen, Petri T. - 2023

"An Introduction to Economic Dynamics provides a framework for students to appreciate and understand the basic intuition behind economic models and to experiment with those models using simulation techniques in MATLAB. This book goes beyond the often-limited scope of other texts on economic...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014471252

Einkommenswirkung und fiskalische Kosten der grünen Garantierente : Endbericht : Forschungsprojekt im Auftrag der Bundestagsfraktion Bündnis 90/Die Grünen

Geyer, Johannes; Buslei, Hermann - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012592955

A Simple but Powerful Simulated Certainty Equivalent Approximation Method for Dynamic Stochastic Problems

Cai, Yongyang; Judd, Kenneth L. - 2021

We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that this method only requires a desktop computer to solve high-dimensional finite- or infinite-horizon, stationary or nonstationary dynamic stochastic...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012482717

An instrumental variable approach to dynamic models

Berry, Steven; Compiani, Giovanni - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012621131

Equilibrium indeterminacy and extreme outcomes : a fat sunspot ta(i)l(e)

Dave, Chetan; Sorge, Marco M. - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012248976

Sensitivity analysis for dynamic microsimulation models

Burgard, Jan Pablo; Schmaus, Simon - 2019

Microsimulations usually contain various transition processes such as births and deaths, relocations, and change in household characteristics. The estimation, organisation, and implementation of these processes can have a substantial impact on the simulation outcomes. We propose to evaluate a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012109910

Dynamic optics in economics : quantitative, experimental and econometric analyses

2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012429120

What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model

McAleer, Michael - 2019

Persistently high negative covariances between risky assets and hedging instruments are intended to mitigate against risk and subsequent financial losses. In the event of having more than one hedging instrument, multivariate covariances need to be calculated. Optimal hedge ratios are unlikely to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012022157

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What they did not tell you about algebraic (non-)existence, mathematical (IR-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model

McAleer, Michael - 2019

Book / Working Paper

What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model

McAleer, Michael - 2019

In order to hedge efficiently, persistently high negative covariances or, equivalently, correlations, between risky assets and the hedging instruments are intended to mitigate against financial risk and subsequent losses. If there is more than one hedging instrument, multivariate covariances and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012022209

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What they did not tell you about algebraic (non-)existence, mathematical (IR-)regularity and (non-)asymptotic properties of the dynamic conditional correlation (DCC) model

McAleer, Michael - 2019

Book / Working Paper

Dynamic econometrics for empirical macroeconomic modelling

Nymoen, Ragnar - 2020

"In this textbook, the duality between the equilibrium concept used in dynamic economic theory and the stationarity of economic variables is explained and used in the presentation of single equations models and system of equations such as VARs, recursive models and simultaneous equations models....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012251238

Forecast density combinations of dynamic models and data driven portfolio strategies

Baştürk, N.; Borowska, A.; Grassi, S.; Hoogerheide, … - 2019

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012303391

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Forecast density combinations of dynamic models and data driven portfolio strategies

Baştürk, Nalan; Borowska, Agnieszka; Grassi, Stefano; … - 2018

Book / Working Paper

Forecast density combinations of dynamic models and data driven portfolio strategies

Basturk, Nalan; Borowska, Agnieszka; Grassi, Stefano; … - 2018

A dynamic asset-allocation model is specified in probabilistic terms as a combination of return distributions resulting from multiple pairs of dynamic models and portfolio strategies based on momentum patterns in US industry returns. The nonlinear state space representation of the model allows...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011916443

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Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies

Basturk, Nalan - 2018

Book / Working Paper

Markov switching panel with network interaction effects

Agudze, Komula Mawulom; Billio, Monica; Casarin, Roberto; … - 2018

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011798826

Dynamiczne modele specjalne Nowej Ekonomii Geograficznej

Mastalerz-Kodzis, Adrianna - 2018

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011901855

Estimating dynamic panel models : backing out the Nickell Bias

Hausman, Jerry A.; Pinkovskiy, Maxim L. - 2017

We propose a new estimator for the dynamic panel model, which solves the failure of strict exogeneity by calculating the bias in the first-order conditions as a function of the autoregressive parameter and solving the resulting equation. The estimator does well in a wide variety of situations...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011775375

Empirical bayes methods for dynamic factor models

Koopman, Siem Jan; Mesters, Geert - 2017

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011793537

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Empirical Bayes Methods for Dynamic Factor Models

Koopman, Siem Jan - 2014

Book / Working Paper

Nowcasting the Czech trade balance

Babeckaja-Kucharcǔk, Oksana A.; Brůha, Jan - 2016

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011778720

Misspecification in dynamic panel data models and model-free inferences

Okui, Ryo - 2017

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011959229

Dynamic linear panel regression models with interactive fixed effects

Moon, Hyungsik Roger; Weidner, Martin - 2017

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011665278

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Dynamic Linear Panel Regression Models with Interactive Fixed Effects

Moon, Hyungsik Roger - 2015

Book / Working Paper

Essays on forecasting with linear state-space systems

Boldrini, Lorenzo - 2016

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011527390

A dynamic analysis of resilience in Uganda

D'Errico, Marco; Di Giuseppe, Stefania - 2016

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011552582

Estimating a real-time business conditions indicator for Romania

Smǎdu, Andra; Stanciu, Irina; Tănase, Andrei - 2016

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011555047

Leading indicators of the business cycle : dynamic logit models for OECD countries and Russia

Pestova, Anna - 2015

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011291456

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Leading Indicators of the Business Cycle : Dynamic Logit Models for OECD Countries and Russia

Pestova, Anna - 2015

Book / Working Paper

Some quantitative methods and models in economic theory

Prasolov, Alexander V. - 2016

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011451744

The Estimation of Multi-Dimensional Fixed Effects Panel Data Models

Balazsi, Laszlo - 2015

The paper introduces the appropriate within estimators for the most frequently used three-dimensional fixed effects panel data models. It analyzes the behavior of these estimators in the cases of no self-flow data, unbalanced data, and dynamic autoregressive models. The main results are then...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013024591

Dynamic factor models

2016 - First edition

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011416192

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Dynamic factor models

2016

Book / Working Paper

The estimation of multi-dimensional fixed effects panel data models

Balazsi, Laszlo; Mátyás, László; Wansbeek, Tom - 2015

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010492323

Global and country-specific output growth uncertainty and macroeconomic performance

Berger, Tino; Grabert, Sibylle; Kempa, Bernd - 2016

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011579094

Estimation and forecast of GDP and GDP components with the dynamic factor model : application for Romania

Tănase, Andrei - 2015

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011280867

A computational model of industry dynamics

Chang, Myong-hun - 2015

1. Non-equilibrium dynamics in the evolution of industries -- 2. Models of industry dynamics -- 3. A dynamic model of Schumpeterian competition -- 4. Growing an industry in silico -- 5. Shakeouts : limited foresight, technological shocks, and transient industry dynamics -- 6. Industry dynamics...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013183423

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A computational model of industry dynamics

Chang, Myong-hun - 2015

Book / Working Paper

Dynamic semiparametric factor model in applications to fMRI and interest rates

Majer, Piotr - 2015

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010486403

Estimation of dynamic discrete choice models by maximum likelihood and the simulated method of moments

Eisenhauer, Philipp; Heckman, James J.; Mosso, Stefano - 2015

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011421088

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Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments

Eisenhauer, Philipp - 2014

Book / Working Paper

Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments

Eisenhauer, Phillipp - 2014

Book / Working Paper

Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments

Eisenhauer, Philipp - 2014

Book / Working Paper

Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments

Eisenhauer, Phillipp - 2014

Book / Working Paper

Two EGARCH Models and One Fat Tail

Caivano, Michele - 2014

We compare two EGARCH models, which belong to a new class of models in which the dynamics are driven by the score of the conditional distribution of the observations. Models of this kind are called dynamic conditional score (DCS) models and their form facilitates the development of a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013051366

Quantitative models of wealth inequality : a survey

De Nardi, Mariacristina - 2015

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010530692

Estimation of dynamic discrete choice models by maximum likelihood and the simulated method of moments

Eisenhauer, Philipp; Heckman, James J. - 2014

We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010424834

Dynamic economic analysis : deterministic models in discrete time

Sorger, Gerhard - 2015

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011375249

Dynamic linear panel regression models with interactive fixed effects

Moon, Hyungsik Roger; Weidner, Martin - 2014

We analyze linear panel regression models with interactive fixed effects and predetermined regressors, e.g. lagged-dependent variables. The first order asymptotic theory of the least squares (LS) estimator of the regression coefficients is worked out in the limit where both the cross sectional...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010458628