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Empirical Macroeconomics And Statistical Uncertainty
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Book Synopsis Empirical Macroeconomics and Statistical Uncertainty by : Mateusz Pipień
Download or read book Empirical Macroeconomics and Statistical Uncertainty written by Mateusz Pipień and published by Routledge. This book was released on 2020-08-06 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses one of the most important research activities in empirical macroeconomics. It provides a course of advanced but intuitive methods and tools enabling the spatial and temporal disaggregation of basic macroeconomic variables and the assessment of the statistical uncertainty of the outcomes of disaggregation. The empirical analysis focuses mainly on GDP and its growth in the context of Poland. However, all of the methods discussed can be easily applied to other countries. The approach used in the book views spatial and temporal disaggregation as a special case of the estimation of missing observations (a topic on missing data analysis). The book presents an econometric course of models of Seemingly Unrelated Regression Equations (SURE). The main advantage of using the SURE specification is to tackle the presented research problem so that it allows for the heterogeneity of the parameters describing relations between macroeconomic indicators. The book contains model specification, as well as descriptions of stochastic assumptions and resulting procedures of estimation and testing. The method also addresses uncertainty in the estimates produced. All of the necessary tests and assumptions are presented in detail. The results are designed to serve as a source of invaluable information making regional analyses more convenient and – more importantly – comparable. It will create a solid basis for making conclusions and recommendations concerning regional economic policy in Poland, particularly regarding the assessment of the economic situation. This is essential reading for academics, researchers, and economists with regional analysis as their field of expertise, as well as central bankers and policymakers.
Book Synopsis Empirical Macroeconomics and Statistical Uncertainty by : Mateusz Pipień
Download or read book Empirical Macroeconomics and Statistical Uncertainty written by Mateusz Pipień and published by Routledge. This book was released on 2020-08-06 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses one of the most important research activities in empirical macroeconomics. It provides a course of advanced but intuitive methods and tools enabling the spatial and temporal disaggregation of basic macroeconomic variables and the assessment of the statistical uncertainty of the outcomes of disaggregation. The empirical analysis focuses mainly on GDP and its growth in the context of Poland. However, all of the methods discussed can be easily applied to other countries. The approach used in the book views spatial and temporal disaggregation as a special case of the estimation of missing observations (a topic on missing data analysis). The book presents an econometric course of models of Seemingly Unrelated Regression Equations (SURE). The main advantage of using the SURE specification is to tackle the presented research problem so that it allows for the heterogeneity of the parameters describing relations between macroeconomic indicators. The book contains model specification, as well as descriptions of stochastic assumptions and resulting procedures of estimation and testing. The method also addresses uncertainty in the estimates produced. All of the necessary tests and assumptions are presented in detail. The results are designed to serve as a source of invaluable information making regional analyses more convenient and – more importantly – comparable. It will create a solid basis for making conclusions and recommendations concerning regional economic policy in Poland, particularly regarding the assessment of the economic situation. This is essential reading for academics, researchers, and economists with regional analysis as their field of expertise, as well as central bankers and policymakers.
Book Synopsis Handbook of Research Methods and Applications in Empirical Macroeconomics by : Nigar Hashimzade
Download or read book Handbook of Research Methods and Applications in Empirical Macroeconomics written by Nigar Hashimzade and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.
Book Synopsis Essays in Empirical Macroeconomics by : Julian Felix Ludwig
Download or read book Essays in Empirical Macroeconomics written by Julian Felix Ludwig and published by . This book was released on 2019 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation examines how expectations are formed and how they interact with economic activities. Beliefs about economic outcomes vary with timing and accuracy of information, which have important implications for macroeconomic dynamics. The importance of expectations has long been emphasized in rational expectations (RE) models (see e.g. Lucas 1972, 1976; Kydland and Prescott 1982), and diffusion of information has been modeled in many ways (see e.g. Beaudry and Portier 2004, 2006; Mankiw and Reis 2002; Woodford 2003; Sims 2003). My work builds on this literature and aims to improve the understanding of information structure, formation of beliefs, and decision-making, and how they contribute to macro business cycles. In the first chapter, I point out how identification of full information rational expectations (FIRE) models suffers from Manski's (1993) reflection problem. I extend the standard rational expectations (RE) model to allow for a more general information structure and introduce a new framework to identify the generalized model with forecaster data. Identification is no longer subject to the reflection problem when two changes are made to the information structure: the addition of news shocks and imperfect information. News shocks provide additional variation in expectations about the future. Imperfect information provides changes in beliefs about past states, through which the feedback between expectations and decisions goes only in one direction. Expectations data are consistent with both. An application to Greenbook forecasts illustrates the importance of both news shocks and learning about the past. When I apply this framework to a Blanchard and Quah (1989) decomposition, I reach qualitatively new results. For example, expansionary supply shocks decrease unemployment. Supply shocks are also particularly subject to both news and information rigidities, so relaxing the information structure is key to correctly identifying these shocks. In the second chapter, I discover how both good and bad news shocks coincide with higher uncertainty on impact. This new stylized fact is robust to different empirical models of the news shocks literature and different proxies for U.S. macro uncertainty. The new stylized fact has implications in three fields. First, bad news shocks produce the dynamics discovered in the uncertainty literature: spikes in uncertainty are followed by drops in output. I show that there is indeed some overlap between bad news and uncertainty shocks, as the effect of an uncertainty shock gets weaker when controlling for bad news shocks. Second, I show that the close relationship between news shocks and uncertainty seems to be also responsible for the close relationship between quarterly stock returns and stock market volatility - a proxy for uncertainty. This contributes to the finance literature that works on this relationship. Third, introducing a non-linear empirical model, I find additional asymmetries in the responses to news shocks due to the asymmetric response of uncertainty. This contributes directly to the news shocks literature. An important conclusion of chapters one and two is that economic shocks vary with availability of information. The third chapter deals with such heterogeneity. I relax the assumption that economic shocks of the same type are homogeneous, respectively, always have the same effect. Instead, I argue that economists identify a shock that consists of a variety of heterogeneous components. For example, a technology shock is the sum of all disaggregate technology shocks, from innovations in marketing up to inventions in the manufacturing process, which all have different effects on the economy. I discuss how standard identification methods can identify the shocks of interest despite this heterogeneity. I find that the weights on the shock components depend on the identification strategy so that different identification strategies produce different effects. This could explain why different macro papers often identify different responses to the same shock, in the same country, and over the same time period
Book Synopsis Essays in Empirical Macroeconomics by : Scott Ross Baker
Download or read book Essays in Empirical Macroeconomics written by Scott Ross Baker and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains four distinct essays in two broad areas of empirical macroeconomics. The first area analyzes two drivers of household behavior during the great recession as relates to consumption choices and job search when unemployed. The second area covers the measurement and impact of economic and policy uncertainty on economic outcomes.
Book Synopsis Time Series Econometrics by : Klaus Neusser
Download or read book Time Series Econometrics written by Klaus Neusser and published by Springer. This book was released on 2016-06-14 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students.
Book Synopsis Handbook of Empirical Economics and Finance by : Aman Ullah
Download or read book Handbook of Empirical Economics and Finance written by Aman Ullah and published by Chapman and Hall/CRC. This book was released on 2010-12-20 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Empirical Economics and Finance explores the latest developments in the analysis and modeling of economic and financial data. Well-recognized econometric experts discuss the rapidly growing research in economics and finance and offer insight on the future direction of these fields. Focusing on micro models, the first group of chapters describes the statistical issues involved in the analysis of econometric models with cross-sectional data often arising in microeconomics. The book then illustrates time series models that are extensively used in empirical macroeconomics and finance. The last set of chapters explores the types of panel data and spatial models that are becoming increasingly significant in analyzing complex economic behavior and policy evaluations. This handbook brings together both background material and new methodological and applied results that are extremely important to the current and future frontiers in empirical economics and finance. It emphasizes inferential issues that transpire in the analysis of cross-sectional, time series, and panel data-based empirical models in economics, finance, and related disciplines.
Book Synopsis Forecasting in the Presence of Structural Breaks and Model Uncertainty by : David E. Rapach
Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Book Synopsis Macroeconomic Uncertainty, Precautionary Savings and the Current Account by : Mr.Atish R. Ghosh
Download or read book Macroeconomic Uncertainty, Precautionary Savings and the Current Account written by Mr.Atish R. Ghosh and published by International Monetary Fund. This book was released on 1992-09-01 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationship between current account developments and changes in the macroeconomic environment remains a key issue in open economy macroeconomics. This paper extends the standard intertemporal optimizing model of the current account to incorporate the effects of macroeconomic uncertainty on private savings behavior. It is shown that the greater the uncertainty in national cash flow, defined as output less investment less government expenditure, the greater is the precautionary demand for savings and, other things equal, the larger is the current account surplus. Empirical support for the model is found using quarterly data from four large industrial countries.
Book Synopsis New Developments in Time Series Econometrics by : Jean-Marie Dufour
Download or read book New Developments in Time Series Econometrics written by Jean-Marie Dufour and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area.
Book Synopsis Empirical Essays on Expectations and Uncertainty in Macroeconomics by : Angela Martina Fuest
Download or read book Empirical Essays on Expectations and Uncertainty in Macroeconomics written by Angela Martina Fuest and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Recent Econometric Techniques for Macroeconomic and Financial Data by : Gilles Dufrénot
Download or read book Recent Econometric Techniques for Macroeconomic and Financial Data written by Gilles Dufrénot and published by Springer Nature. This book was released on 2020-11-21 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models. The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.
Book Synopsis Handbook of Research Methods and Applications in Empirical Microeconomics by : Hashimzade, Nigar
Download or read book Handbook of Research Methods and Applications in Empirical Microeconomics written by Hashimzade, Nigar and published by Edward Elgar Publishing. This book was released on 2021-11-18 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written in a comprehensive yet accessible style, this Handbook introduces readers to a range of modern empirical methods with applications in microeconomics, illustrating how to use two of the most popular software packages, Stata and R, in microeconometric applications.
Book Synopsis Structural Macroeconometrics by : David N. DeJong
Download or read book Structural Macroeconometrics written by David N. DeJong and published by Princeton University Press. This book was released on 2011-10-03 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: The revised edition of the essential resource on macroeconometrics Structural Macroeconometrics provides a thorough overview and in-depth exploration of methodologies, models, and techniques used to analyze forces shaping national economies. In this thoroughly revised second edition, David DeJong and Chetan Dave emphasize time series econometrics and unite theoretical and empirical research, while taking into account important new advances in the field. The authors detail strategies for solving dynamic structural models and present the full range of methods for characterizing and evaluating empirical implications, including calibration exercises, method-of-moment procedures, and likelihood-based procedures, both classical and Bayesian. The authors look at recent strides that have been made to enhance numerical efficiency, consider the expanded applicability of dynamic factor models, and examine the use of alternative assumptions involving learning and rational inattention on the part of decision makers. The treatment of methodologies for obtaining nonlinear model representations has been expanded, and linear and nonlinear model representations are integrated throughout the text. The book offers a rich array of implementation algorithms, sample empirical applications, and supporting computer code. Structural Macroeconometrics is the ideal textbook for graduate students seeking an introduction to macroeconomics and econometrics, and for advanced students pursuing applied research in macroeconomics. The book's historical perspective, along with its broad presentation of alternative methodologies, makes it an indispensable resource for academics and professionals.
Book Synopsis An empirical study on the measurement and determinants of macroeconomic uncertainty by : Maren Ulm
Download or read book An empirical study on the measurement and determinants of macroeconomic uncertainty written by Maren Ulm and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book State-Space Models written by Yong Zeng and published by Springer Science & Business Media. This book was released on 2013-08-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuses on the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data. The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals.
Book Synopsis High Frequency Financial Econometrics by : Luc Bauwens
Download or read book High Frequency Financial Econometrics written by Luc Bauwens and published by Springer Science & Business Media. This book was released on 2007-12-31 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.
