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The Conventional Treatment Of Seasonality In Business Cycle Analysis
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Book Synopsis The Conventional Treatment of Seasonality in Business Cycle Analysis by : Lawrence J. Christiano
Download or read book The Conventional Treatment of Seasonality in Business Cycle Analysis written by Lawrence J. Christiano and published by . This book was released on 2000 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'No.' So says one model that is broadly consistent with postwar U.S. seasonal and business cycle data.
Author :Compiled by the British Library of Political and Economic Science Publisher :Routledge ISBN 13 :1134340036 Total Pages :675 pages Book Rating :4.1/5 (343 download)
Book Synopsis IBSS: Economics: 2002 Vol.51 by : Compiled by the British Library of Political and Economic Science
Download or read book IBSS: Economics: 2002 Vol.51 written by Compiled by the British Library of Political and Economic Science and published by Routledge. This book was released on 2013-05-13 with total page 675 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 1952, the International Bibliography of the Social Sciences (anthropology, economics, political science, and sociology) is well established as a major bibliographic reference for students, researchers and librarians in the social sciences worldwide. Key features * Authority: Rigorous standards are applied to make the IBSS the most authoritative selective bibliography ever produced. Articles and books are selected on merit by some of the world's most expert librarians and academics. *Breadth: today the IBSS covers over 2000 journals - more than any other comparable resource. The latest monograph publications are also included. *International Coverage: the IBSS reviews scholarship published in over 30 languages, including publications from Eastern Europe and the developing world. *User friendly organization: all non-English titles are word sections. Extensive author, subject and place name indexes are provided in both English and French. Place your standing order now for the 2003 volumes of the the IBSS Anthropology: 2002 Vol.48 December 2003: 234x156: Hb: 0-415-32634-6: £195.00 Economics: 2002 Vol.51 December 2003: 234x156: Hb: 0-415-32635-4: £195.00 Political Science: 2002 Vol.51 December 2003: 234x156: Hb: 0-415-32636-2: £195.00 Sociology: 2002 Vol.52 December 2003: 234x156: Hb: 0-415-32637-0: £195.00
Author :Compiled by the British Library of Political and Economic Science Publisher :Psychology Press ISBN 13 :0415326354 Total Pages :676 pages Book Rating :4.4/5 (153 download)
Book Synopsis International Bibliography of Economics by : Compiled by the British Library of Political and Economic Science
Download or read book International Bibliography of Economics written by Compiled by the British Library of Political and Economic Science and published by Psychology Press. This book was released on 2003 with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt: IBSS is the essential tool for librarians, university departments, research institutions and any public or private institution whose work requires access to up-to-date and comprehensive knowledge of the social sciences.
Book Synopsis The Redistribution Recession by : Casey B. Mulligan
Download or read book The Redistribution Recession written by Casey B. Mulligan and published by Oxford University Press. This book was released on 2012-11-29 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Major subsidies and regulations intended to help the poor and unemployed were changed in more than a dozen ways after 2007. Economist Casey B. Mulligan argues that many of these changes were reasonable reactions to economic events, with the intention of helping people endure the recession, but they also reduced incentives for people to work and businesses to hire. He measures the startling changes in implicit tax rates that resulted from a labyrinth of new and expanded 'social safety net' programs, and quantifies the effects of these changes on the labor market and the economy. He also reveals how borrowers can expect their earnings to affect the amount that lenders will forgive in debt renegotiation, and how this has acted as a massive implicit tax on earning. He explains how redistribution in the forms of subsidies, taxes and minimum-wage laws profoundly altered the path of the economy and made the recent recession one of the deepest and longest in decades. The Redistribution Recession is a controversial, clear-cut, and thoroughly researched analysis of the effects of various government policies on the labor market. It offers ground-breaking interpretations and precise explanations of the interplay between unemployment and financial markets."--Jacket.
Book Synopsis Seasonal Adjustment Methods and Real Time Trend-Cycle Estimation by : Estela Bee Dagum
Download or read book Seasonal Adjustment Methods and Real Time Trend-Cycle Estimation written by Estela Bee Dagum and published by Springer. This book was released on 2016-06-20 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores widely used seasonal adjustment methods and recent developments in real time trend-cycle estimation. It discusses in detail the properties and limitations of X12ARIMA, TRAMO-SEATS and STAMP - the main seasonal adjustment methods used by statistical agencies. Several real-world cases illustrate each method and real data examples can be followed throughout the text. The trend-cycle estimation is presented using nonparametric techniques based on moving averages, linear filters and reproducing kernel Hilbert spaces, taking recent advances into account. The book provides a systematical treatment of results that to date have been scattered throughout the literature. Seasonal adjustment and real time trend-cycle prediction play an essential part at all levels of activity in modern economies. They are used by governments to counteract cyclical recessions, by central banks to control inflation, by decision makers for better modeling and planning and by hospitals, manufacturers, builders, transportation, and consumers in general to decide on appropriate action. This book appeals to practitioners in government institutions, finance and business, macroeconomists, and other professionals who use economic data as well as academic researchers in time series analysis, seasonal adjustment methods, filtering and signal extraction. It is also useful for graduate and final-year undergraduate courses in econometrics and time series with a good understanding of linear regression and matrix algebra, as well as ARIMA modelling.
Book Synopsis Bootstrap and Higher-order Expansion Validity when Instruments May be Weak by : Marcelo J. Moreira
Download or read book Bootstrap and Higher-order Expansion Validity when Instruments May be Weak written by Marcelo J. Moreira and published by . This book was released on 2004 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well-known that size-adjustments based on Edgeworth expansions for the t-statistic perform poorly when instruments are weakly correlated with the endogenous explanatory variable. This paper shows, however, that the lack of Edgeworth expansions and bootstrap validity are not tied to the weak instrument framework, but instead depends on which test statistic is examined. In particular, Edgeworth expansions are valid for the score and conditional likelihood ratio approaches, even when the instruments are uncorrelated with the endogenous explanatory variable. Furthermore, there is a belief that the bootstrap method fails when instruments are weak, since it replaces parameters with inconsistent estimators. Contrary to this notion, we provide a theoretical proof that guarantees the validity of the bootstrap for the score test, as well as the validity of the conditional bootstrap for many conditional tests. Monte Carlo simulations show that the bootstrap actually decreases size distortions in both cases.
Book Synopsis NBER Reporter by : National Bureau of Economic Research
Download or read book NBER Reporter written by National Bureau of Economic Research and published by . This book was released on 2001 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimating Hedonic Models by : Helen Tauchen
Download or read book Estimating Hedonic Models written by Helen Tauchen and published by . This book was released on 2001 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we consider the conditions under which instrumental variables methods are required in estimating a hedonic price function and its accompanying demand and supply relations. We assume simple functional forms that permit an explicit solution for the equilibrium hedonic price function. The principles are the same for models in which no analytic solution exists, but having the solutions makes the issues far more transparent. The need for instrumental variables estimation is directly analogous for the classical demand and supply model with undifferentiated products and for the hedonic model with differentiated products. In estimating individual demand and supply functions, instrumental variables estimation is required if the consumer and firm unobservables, which give rise to the error terms in the demand and supply functions, are correlated across consumers/firms within a community. In estimating inverse demand/supply functions, which are referred to as bid/offer functions in the hedonic model, instrumental variables estimation is required even if the unobservables are not correlated across agents within a community. If the unobservables are not correlated across agents within a community, then community binaries or the means of observable consumer and firm characteristics can be used as instruments. If the unobservables are correlated then only the latter can be used. The error term in the hedonic price function is often assumed to be uncorrelated with the chosen attributes. This assumption may be reasonable if consumers have quasilinear preferences. If not, then the error term in the price function may affect the utility-maximizing amounts of the attributes. The feasible instruments again depend upon whether the error term is correlated for agents within a community. If not, then community binaries or observed individual characteristics may be used as instruments. If so, then the community binaries are correlated with the error terms and cannot serve as instruments.
Book Synopsis A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation by : Daniel A. Ackerberg
Download or read book A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation written by Daniel A. Ackerberg and published by . This book was released on 2001 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Method of Simulated Moments (MSM) estimators introduced by McFadden (1989)and Pakes and Pollard (1989) are of great use to applied economists. They are relatively easy to use even for estimating very complicated economic models. One simply needs to generate simulated data according to the model and choose parameters that make moments of this simulated data as close as possible to moments of the true data. This paper uses importance sampling techniques to address a significant computational caveat regarding these MSM estimators - that often one's economic model is hard to solve. Examples include complicated equilibrium models and dynamic programming problems. We show that importance sampling can reduce he number of times a particular model needs to be solved in an estimation procedure, significantly decreasing computational burden.
Book Synopsis Identification and Estimation of Discrete Games of Complete Information by : Patrick L. Bajari
Download or read book Identification and Estimation of Discrete Games of Complete Information written by Patrick L. Bajari and published by . This book was released on 2004 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: We discuss the identification and estimation of discrete games of complete information. Following Bresnahan and Reiss (1990, 1991), a discrete game is a generalization of a standard discrete choice model where utility depends on the actions of other players. Using recent algorithms to compute all of the Nash equilibria to a game, we propose simulation-based estimators for static, discrete games. With appropriate exclusion restrictions about how covariates enter into payoffs and influence equilibrium selection, the model is identified with only weak parametric assumptions. Monte Carlo evidence demonstrates that the estimator can perform well in moderately-sized samples. As an application, we study the strategic decision of firms in spatially-separated markets to establish a presence on the Internet.
Book Synopsis Empirical Bayes Forecasts of One Time Series Using Many Predictors by : Thomas Knox
Download or read book Empirical Bayes Forecasts of One Time Series Using Many Predictors written by Thomas Knox and published by . This book was released on 2001 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider both frequentist and empirical Bayes forecasts of a single time series using a linear model with T observations and K orthonormal predictors. The frequentist formulation considers estimators that are equivariant under permutations (reorderings) of the regressors. The empirical Bayes formulation (both parametric and nonparametric) treats the coefficients as i.i.d. and estimates their prior. Asymptotically, when K is proportional to T the empirical Bayes estimator is shown to be: (i) optimal in Robbins' (1955, 1964) sense; (ii) the minimum risk equivariant estimator; and (iii) minimax in both the frequentist and Bayesian problems over a class of nonGaussian error distributions. Also, the asymptotic frequentist risk of the minimum risk equivariant estimator is shown to equal the Bayes risk of the (infeasible subjectivist) Bayes estimator in the Gaussian case, where the 'prior' is the weak limit of the empirical cdf of the true parameter values. Monte Carlo results are encouraging. The new estimators are used to forecast monthly postwar U.S. macroeconomic time series using the first 151 principal components from a large panel of predictors.
Book Synopsis The Interesting Dynamic Properties of the Neoclassical Growth Model with CES Production by : Kent Andrew Smetters
Download or read book The Interesting Dynamic Properties of the Neoclassical Growth Model with CES Production written by Kent Andrew Smetters and published by . This book was released on 2003 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Relationship Between Determinate and MSV Solutions in Linear RE Models by : Bennett T. McCallum
Download or read book On the Relationship Between Determinate and MSV Solutions in Linear RE Models written by Bennett T. McCallum and published by . This book was released on 2004 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the possibility that, in linear rational expectations (RE) models, all determinate (uniquely non-explosive) solutions coincide with the minimum state variable (MSV) solution, which is unique by construction. In univariate specifications of the form y(t) = AE(t)y(t+1) + Cy(t-1) + u(t) that result holds: if a RE solution is unique and non-explosive, then it is the same as the MSV solution. Also, this result holds for multivariate versions if the A and C matrices commute and a certain regularity condition holds. More generally, however, there are models of this form that possess unique non-explosive solutions that differ from their MSV solutions. Examples are provided and a strategy for easily constructing others is outlined.
Book Synopsis Affine Processes and Applications in Finance by : Darrell Duffie
Download or read book Affine Processes and Applications in Finance written by Darrell Duffie and published by . This book was released on 2002 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Simple and Bias-corrected Matching Estimators for Average Treatment Effects by : Alberto Abadie
Download or read book Simple and Bias-corrected Matching Estimators for Average Treatment Effects written by Alberto Abadie and published by . This book was released on 2002 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Matching estimators for average treatment effects are widely used in evaluation research despite the fact that their large sample properties have not been established in many cases. In this article, we develop a new framework to analyze the properties of matching estimators and establish a number of new results. First, we show that matching estimators include a conditional bias term which may not vanish at a rate faster than root-N when more than one continuous variable is used for matching. As a result, matching estimators may not be root-N-consistent. Second, we show that even after removing the conditional bias, matching estimators with a fixed number of matches do not reach the semiparametric efficiency bound for average treatment effects, although the efficiency loss may be small. Third, we propose a bias-correction that removes the conditional bias asymptotically, making matching estimators root-N-consistent. Fourth, we provide a new estimator for the conditional variance that does not require consistent nonparametric estimation of unknown functions. We apply the bias-corrected matching estimators to the study of the effects of a labor market program previously analyzed by Lalonde (1986). We also carry out a small simulation study based on Lalonde's example where a simple implementation of the biascorrected matching estimator performs well compared to both simple matching estimators and to regression estimators in terms of bias and root-mean-squared-error. Software for implementing the proposed estimators in STATA and Matlab is available from the authors on the web.
Book Synopsis The Use of Predictive Regressions at Alternative Horizons in Finance and Economics by : Nelson Chung Mark
Download or read book The Use of Predictive Regressions at Alternative Horizons in Finance and Economics written by Nelson Chung Mark and published by . This book was released on 2004 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: When a k period future return is regressed on a current variable such as the log dividend yield, the marginal significance level of the t-test that the return is unpredictable typically increases over some range of future return horizons, k. Local asymptotic power analysis shows that the power of the long-horizon predictive regression test dominates that of the short-horizon test over a nontrivial region of the admissible parameter space. In practice, small sample OLS bias, which differs under the null and the alternative, can distort the size and reduce the power gains of long-horizon tests. To overcome these problems, we suggest a moving block recursive Jackknife estimator of the predictive regression slope coefficient and test statistics that is appropriate under both the null and the alternative. The methods are applied to testing whether future stock returns are predictable. Consistent evidence in favor of return predictability shows up at the 5 year horizon.
Book Synopsis Solving Dynamic General Equilibrium Models Using a Second-order Approximation to the Policy Function by : Stephanie Schmitt-Grohé
Download or read book Solving Dynamic General Equilibrium Models Using a Second-order Approximation to the Policy Function written by Stephanie Schmitt-Grohé and published by . This book was released on 2001 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper derives a second-order approximation to the solution of a general class of discrete- time rational expectations models. The main theoretical contribution of the paper is to show that for any model belonging to the general class considered, the coefficients on the terms linear and quadratic in the state vector in a second-order expansion of the decision rule are independent of the volatility of the exogenous shocks. In other words, these coefficients must be the same in the stochastic and the deterministic versions of the model. Thus, up to second order, the presence of uncertainty affects only the constant term of the decision rules. In addition, the paper presents a set of MATLAB programs designed to compute the coefficients of the second-order approximation. The validity and applicability of the proposed method is illustrated by solving the dynamics of a number of model economies.
