Download or read book Essays on the Simulation based Estimation of Dynamic Macroeconomic Models written by Dongya Koh and published by . This book was released on 2014 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two chapters, both of which approach macroeconomic issues using simulation-based methods. Aside from the fact that each chapter contributes to its narrowly scoped field, the two chapters demonstrate an implementation of simulation-based estimation techniques and identification strategies to examine dynamic properties of unobserved economic shocks. The main objective of two chapters is to understand the properties of shock process, which in turn provides better macroeconomic implications. The first chapter structurally estimates idiosyncratic labor income risks over the life-cycle to obtain implications for a redistribution policy, namely tax and transfer systems. Since a redistribution policy provides a partial insurance to those exposed to income risks, understanding the underlying life-time labor income risks that households face is central to designing better institutional arrangements. The chapter constructs a human capital life-cycle model and structurally estimates the underlying source of labor income risks across age. We find that the estimated shock process is significantly age-dependent even after controlling for the endogenous responses to the exogenous shocks. In particular, young workers encounter a highly persistent (almost unit-root) but relatively small volatility of permanent shocks, while older workers encounter a less persistent but higher volatility of permanent shocks. In addition, we demonstrate that under the age-dependent shock process the self-insurance ability of young workers is 20% lower than that of middle-aged workers. Finally, we find that more benefits, either through a tax exemption or subsidies, to young workers drastically improve aggregate production, welfare, and income inequality. In the second chapter, we structurally estimate the dynamic properties of elasticity of substitution between capital and labor to resolve well-known puzzles in labor market dynamics: Dunlop-Tarshis phenomenon, the labor productivity puzzle, the labor share puzzle including its oveshooting response to productivity shocks, and the hours-productivity puzzle. We propose an aggregate production function that potentially takes a different shape in the short run (SR) from the long run (LR). Specifically, we allow for cyclical fluctuations of the short-run elasticity of substitution between capital and labor, [sigma][subscript t], while keeping the Cobb-Douglas shape in the long run. We find that productivity shocks are on average biased toward labor (i.e. [sigma][subscript t]

Download or read book Three Essays in the Estimation of Dynamic Macroeconomic Models written by Taeyoung Doh and published by . This book was released on 2007 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Economic Dynamics written by Akio Matsumoto and published by Springer. This book was released on 2016-10-03 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reflects the state of the art in nonlinear economic dynamics, providing a broad overview of dynamic economic models at different levels. The wide variety of approaches ranges from theoretical and simulation analysis to methodological study. In particular, it examines the local and global asymptotical behavior of both macro- and micro- level mathematical models, theoretically as well as using simulation. It also focuses on systems with one or more time delays for which new methodology has to be developed to investigate their asymptotic properties. The book offers a comprehensive summary of the existing methodology with extensions to the more complex model variants, since considerations on bounded rationality of complex economic behavior provide the foundation underlying choice-theoretic and policy-oriented studies of macro behavior, which impact the real macro economy. It includes 13 chapters addressing traditional models such as monopoly, duopoly and oligopoly in microeconomics and Keynesian, Goodwinian, and Kaldor–Kaleckian models in macroeconomics. Each chapter presents new aspects of these traditional models that have never been seen before. This work renews the past wisdom and reveals tomorrow's knowledge.

Download or read book Nonlinear Economic Dynamics and Financial Modelling written by Roberto Dieci and published by Springer. This book was released on 2014-07-26 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.

Download or read book Essays in the Econometrics of Macroeconomic Models written by Andreas Tryphonides and published by . This book was released on 2016 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: The thesis has focused on issues related to the use of external information in the identification, estimation and evaluation of Dynamic Stochastic General Equilibrium (DSGE) models, and comprises three papers. The first paper, entitled Improving Inference for Dynamic Economies with Frictions - The role of Qualitative Survey data, proposes a new inferential methodology that is robust to misspecification of the mechanism generating frictions in a dynamic stochastic economy. I derive a characterization of the model economy that provides identifying restrictions on the solution of the model that are consistent with a variety of mechanisms. I show how qualitative survey data can be linked to the expectations of agents and how this link generates an additional informative set of identifying restrictions. Moreover, I show how the framework can be used to formally validate mechanisms that generate frictions. Finally, I apply the methodology to estimate the distortions in the Spanish economy due to financial frictions and derive an optimal robust Taylor rule. The second chapter, entitled Estimation and Inference for Incomplete Structural Models using Auxiliary Density Information considers an alternative method for estimating the parameters of an equilibrium model which does not require the equilibrium decision rules and produces an estimated probability model for the observables. This is done by introducing auxiliary information about the conditional density of the observables, and using density projections. I develop and assess frequentist inference in this framework. I provide the asymptotic theory for parameter estimates for a general set of conditional projection densities and simulation exercises. In the third chapter, entitled Monetary Policy Rules and External Information, I analyze how conclusions about monetary policy stance are altered when we explicitly acknowledge that model concepts like the output gap and inflation are non-observable and we utilize many proxies that are available in the data. I document the effects on Bayesian inference of introducing such proxy information.

Download or read book Dynamic Modeling Empirical Macroeconomics and Finance written by Lucas Bernard and published by Springer. This book was released on 2016-10-03 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited volume, with contributions by area experts, offers discussions on a range of evolving topics in economics and social development. At center are important issues central to sustainable development, economic growth, technological change, the economics of climate change, commodity markets, long wave theory, non-linear dynamic models, and boom-bust cycles. This is an excellent reference for academic and professional economists interested in emerging areas of empirical macroeconomics and finance. For policy makers and curious readers alike, it is also an outstanding introduction to the economic thinking of those who seek a holistic and all-compassing approach in economic theory and policy. Looking into new data and methodology, this book offers fresh approaches in a post-crisis environment. Set in a profound understanding of the diverse currents within the many traditions of economic thought, this book pushes the established frontiers of economic thinking. It is dedicated to a leading scholar in the areas covered in this book, Willi Semmler.

Download or read book Three Essays on the Solution and Estimation of Dynamic Macroeconomic Models written by Anthony Alan Smith and published by . This book was released on 1990 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Estimation of Dynamic Macroeconomic Models written by Luca Neri and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Macroeconomic Dynamics written by Hammad Qureshi and published by . This book was released on 2009 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation examines theoretical and empirical topics in macroeconomic dynamics. A central issue in macroeconomic dynamics is understanding the sources of business cycle fluctuations. The idea that expectations about future economic fundamentals can drive business cycles dates back to the early twentieth century. However, the standard real business cycle (RBC) model fails to generate positive comovement in output, consumption, labor-hours and investment in response to news shocks. My dissertation proposes a solution to this puzzling feature of the RBC model by developing a theoretical model that can generate positive aggregate and sectoral comovement in response to news shocks. Another key issue in macroeconomic dynamics is gauging the performance of theoretical models by comparing them to empirical models. Some of the most widely used empirical models in macroeconomics are level vector autoregressive (VAR) models. However, estimated level VAR models may contain explosive roots, which is at odds with the widespread consensus among macroeconomists that roots are at most unity. My dissertation investigates the frequency of explosive roots in estimated level VAR models using Monte Carlo simulations. Additionally, it proposes a way to mitigate explosive roots. Finally, as macroeconomic datasets are relatively short, empirical models such as autoregressive models (i.e. AR or VAR models) may have substantial small-sample bias. My dissertation develops a procedure that numerically corrects the bias in the roots of AR models. This dissertation consists of three essays. The first essay develops a model based on learning-by-doing (LBD) that can generate positive comovement in output, consumption, labor-hours and investment in response to news shocks. I show that the one-sector RBC model augmented by LBD can generate aggregate comovement in response to news shock about technology. Furthermore, I show that in the two-sector RBC model, LBD along with an intratemporal adjustment cost can generate sectoral comovement in response to news about three types of shocks: i) neutral technology shocks, ii) consumption technology shocks, and iii) investment technology shocks. I show that these results hold for contemporaneous technology shocks and for different specifications of LBD. The second essay investigates the frequency of explosive roots in estimated level VAR models in the presence of stationary and nonstationary variables. Monte Carlo simulations based on datasets from the macroeconomic literature reveal that the frequency of explosive roots exceeds 40% in the presence of unit roots. Even when all the variables are stationary, the frequency of explosive roots is substantial. Furthermore, explosion increases significantly, to as much as 100% when the estimated level VAR coefficients are corrected for small-sample bias. These results suggest that researchers estimating level VAR models on macroeconomic datasets encounter explosive roots, a phenomenon that is contrary to common macroeconomic belief, with a very high frequency. Monte Carlo simulations reveal that imposing unit roots in the estimation can substantially reduce the frequency of explosion. Hence one way to mitigate explosive roots is to estimate vector error correction models. The third essay proposes a numerical procedure to correct the small-sample bias in autoregressive roots of univariate AR(p) models. I examine the median-bias properties and variability of the bias-adjusted parameters relative to the least-squares estimates. I show that the bias correction procedure substantially reduces the median-bias in impulse response functions. Furthermore, correcting the bias in roots significantly improves the median-bias in half-life, quarter-life and up-life estimates. The procedure pays a negligible-to-small price in terms of increased standard deviation for its improved median-bias properties.

Download or read book Essays in Macroeconomics and Dynamic Factor Models written by Ziyi Guo and published by . This book was released on 2013 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Observers and Macroeconomic Systems written by Ric D. Herbert and published by Springer Science & Business Media. This book was released on 1998-10-31 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: Observers and Macroeconomic Systems is concerned with the computational aspects of using a control-theoretic approach to the analysis of dynamic macroeconomic systems. The focus is on using a separate model for the development of the control policies. In particular, it uses the observer-based approach whereby the separate model learns to behave in a similar manner to the economic system through output-injections. The book shows how this approach can be used to learn the forward-looking behaviour of economic actors which is a distinguishing feature of dynamic macroeconomic models. It also shows how it can be used in conjunction with low-order models to undertake policy analysis with a large practical econometric model. This overcomes some of the computational problems arising from using just the large econometric models to compute optimal policy trajectories. The work also develops visual simulation software tools that can be used for policy analysis with dynamic macroeconomic systems.

Download or read book Essays in Instrumental Variables Estimators written by Thomas Vigie and published by . This book was released on 2020 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: This PhD thesis focuses on instrumental variable models. Often, econometric models are based on orthogonality conditions used to estimate parameters of interest. The literature on such models is vast, and numerous approaches have provided consistent and asymptotically normal estimators. The three chapters presented here consider different models featuring moment conditions that are estimated. In particular, it is aimed to study the finite performances of various estimators in different contexts, in order to provide guidelines on which procedure to select according to the problem at hand. The first chapter considers Euler equations, fundamental equation in dynamic stochastic macroeconomic models. I solve a generic stochastic growth model and use its solutions to generate samples in order to study the performances of moment based estimators. The second chapter studies the widely used linear model in a context where the variable of interest is endogenous. Given one has a valid instrument that satisfies the conditional moment restriction, many different estimators can be used based on the linear projection of the endogenous variable on the instrument, and transformations of it. I propose an approximate Mean Squared Error (MSE) criterion function to minimize over a set of transformations supplied by the researcher and show it is asymptotically optimal in the sense that the true MSE of the estimator using the optimal number of transformations converges in probability towards the minimum of the true MSE over the set of transformations proposed. In a simulation study, I show the competitive performance of this estimator compared to a variety of estimators used in the literature. I find that it proves particularly competitive when the degree of endogeneity is low, and when the relationship between the endogenous variable and the instrument is highly nonlinear. In other settings, its performance is roughly equivalent to that of the Two Stage Least Squares (2SLS) estimator. In the last chapter, I propose another alternative to instrumental variable estimators that considers the use of kernel based estimators when regressing the endogenous variable on the instruments. I show the resulting estimator is consistent and asymptotically normal, and includes the 2SLS estimator as a special case. Similarly to the second chapter, a simulation study is conducted to show its finite sample behavior.

Download or read book Simulation based Estimation of Dynamic Models with Continuous Equilibrium Solutions written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Belief Updating Forecasting and Robust Policy Making Based on Macroeconomic Variables written by Yizhou Kuang and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays that delve into the intersection of econometrics and macroeconomics. The essays employ econometric tools to investigate various topics related to macroeconomic forecasting and policy-making. The first essay aims to help policy-makers conduct robust inference on parameters that may suffer identification issues from DSGE models, and perform reliable counterfactual analysis based on available macroeconomic indicators. The second essay from a non-structural perspective, explores how to optimally forecast these variables in real-time utilizing available macroeconomic variables under model uncertainty. The last essay looks at Survey of Professional Forecasters and studies how agents update their beliefs based on common and private signals during business cycles.The first chapter introduces a new algorithm to conduct robust Bayesian estimation and inference in dynamic stochastic general equilibrium models. The algorithm combines standard Bayesian methods with an equivalence characterization of model solutions. This algorithm allows researchers to perform the following analysis: First, find the complete range of posterior means of both the deep parameters and any parameters of interest robust to the choice of priors in a sense I make precise. Second, derive the robust Bayesian credible region for these parameters. I prove the validity of this algorithm and apply this method to the models in Cochrane (2011) and An and Schorfheide (2007) to achieve robust estimations for structural parameters and impulse responses. In addition, I conduct a sensitivity analysis of optimal monetary policy rules with respect to the choice of priors and provide bounds to the optimal Taylor rule parameters.In the second chapter, my coauthors Yongmiao Hong, Yuying Sun and I focus on real-time monitoring of economic activities, also known as nowcasting. Nowcasting can be particularly challenging in the era of Big Data because it requires the management of a substantial amount of time series data that exhibit different frequencies and release dates. In this paper, we propose a novel now-casting strategy that utilizes dynamic factor models, which we call leave-b-out forward validation model averaging with penalization (LboFVMA). We demonstrate that the selected weight converges asymptotically to an optimal and consistent estimator, even in cases where all candidate models are misspecified. Further-more, the proposed estimator is consistent and follows an asymptotic Gaussian distribution if the true model is included among the candidate models. Our simulation results demonstrate that the LboFVMA approach performs well, as it generates low mean square forecast errors. This highlights its effectiveness and accuracy in the field of nowcasting.In the third chapter, my coauthors Nathan Mislang, Kristoffer Nimark and I propose a method to empirically decompose a cross-section of observed belief revisions into components driven by private and common signals under weak assumptions. We define a common signal as the single signal that if observed by all agents can explain the maximum amount of belief revisions across agents. Private signals are defined to explain the residual belief revisions unaccounted for by the common signal. When applied to probability forecasts from the Survey of Professional Forecasters we find that private signals account for more of the observed belief revisions than common signals. There is a large cross-sectional heterogeneity in signal precision across forecasters, with about 1/2 of them observing private signals that are less precise than the common signal. Unconditionally, the precision of private and common signals are positively correlated, suggesting that private and common information are complements. Inflation volatility, perceived stock market volatility and a high risk of recession are all factors associated with increased informativeness and precision of both private and common signals. Disagreement between the private and common signals can partly explain increases in uncertainty about macro variables. We discuss the implications of our findings for theoretical models of information acquisition.

Download or read book Introduction to Dynamic Macroeconomic General Equilibrium Models Second Edition written by José L. Torres and published by Vernon Press. This book was released on 2020-10-06 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an introductory step-by-step course in Dynamic Stochastic General Equilibrium (DSGE) modelling. Modern macroeconomic analysis is increasingly concerned with the construction, calibration and/or estimation and simulation of DSGE models. The book is intended for graduate students as an introductory course to DSGE modelling and for those economists who would like a hands-on approach to learning the basics of modern dynamic macroeconomic modelling. The book starts with the simplest canonical neoclassical DSGE model and then gradually extends the basic framework incorporating a variety of additional features, such as consumption habit formation, investment adjustment cost, investment-specific technological change, taxes, public capital, household production, non-ricardian agents, monopolistic competition, etc. The book includes Dynare codes for the models developed that can be downloaded from the book’s homepage. The second edition is identical to the first with the exception of a revised appendix to Chapter 2. The revised appendix can be downloaded free of charge in the accompanying downloads section.

Download or read book DSGE Models in Macroeconomics written by Nathan Balke and published by Emerald Group Publishing. This book was released on 2012-11-29 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of Advances in Econometrics contains articles that examine key topics in the modeling and estimation of dynamic stochastic general equilibrium (DSGE) models. Because DSGE models combine micro- and macroeconomic theory with formal econometric modeling and inference, over the past decade they have become an established framework for analy

Download or read book Var Models in Macroeconomics New Developments and Applications written by Thomas B. Fomby and published by Emerald Group Publishing Limited. This book was released on 2013-12-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Econometrics publishes original scholarly econometric papers with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics, throughout the empirical economic, business and social science literature.