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 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 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 on Non linear Effects in Dynamic Macroeconomic Models written by Sara Alizadeh Miyandoab and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Estimation of Economic Models written by Hatice Ozer-Balli and published by . This book was released on 2008 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Adaptive Learning in Macroeconomic Models written by and published by . This book was released on 2015 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 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 Three Essays in Dynamic Macroeconomics written by Hernán J. Moscoso Boedo and published by . This book was released on 2006 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Quantitative Macroeconomics written by Hanno Kase and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays in quantitative macroeconomics. In Chapter 1, joint with Leonardo Melosi and Matthias Rottner, we leverage recent developments in machine learning to develop methods to solve and estimate large and complex nonlinear macroeconomic models, e.g. HANK models. Our method relies on neural networks because of their appealing feature that even models with hundreds of state variables can be solved. While likelihood estimation requires the repeated solving of the model, something that is infeasible for highly complex models, we overcome this problem by exploiting the scalability of neural networks. Including the parameters of the model as quasi state variables in the neural network, we solve this extended neural network and apply it directly in the estimation. To show the potential of our approach, we estimate a quantitative HANK model that features nonlinearities on an individual (borrowing limit) and aggregate level (zero lower bound) using simulated data. The model also shows that there is an important economic interaction between the impact of the zero lower bound and the degree of household heterogeneity. Chapter 2 studies the impact of macroprudential limits on mortgage lending in a heterogeneous agent life-cycle model with incomplete markets, long-term mortgage, and default. The model is calibrated to German economy using Household Finance and Consumption Survey data. I consider the effects of four policy instruments: loan-to-value limit, debt-toincome limit, payment-to-income limit, and maximum maturity. I find that their effect on homeownership rate is fairly modest. Only the loan-to-value limit significantly reduces the homeownership rate among young households. At the same time, it has the largest positive welfare effect. Chapter 3 explores applications of the backpropagation algorithm on heterogeneous agent models. In addition, I clarify the connection between deep learning and dynamic structural models by showing how a standard value function iteration algorithm can be viewed as a recurrent convolutional neural network. As a result, many advances in the field of machine learning can carry over to economics. This in turn makes the solution and estimation of more complex models feasible.

Download or read book Three Essays in Dynamic Macroeconomic Theory written by Nannette Hechler and published by . This book was released on 1995 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Solution Estimation and Analysis of Dynamic Nonlinear Economic Models written by Xiongwen Rui and published by . This book was released on 1995 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Macroeconomic Forecasting Using Bayesian Model Selection written by Dimitris Korompilis-Magkas and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis explores several aspects of Bayesian model selection in time series forecasting of macroeconomic variables. The contribution is provided in three essays. In the first essay (Chapter 2) I forecast quarterly US inflation based on the generalized Phillips curve using econometric methods which incorporate dynamic model averaging. These methods not only allow for coefficients to change over time, but also for the entire forecasting model to change over time. I find that dynamic model averaging leads to substantial forecasting improvements over simple benchmark regressions and more sophisticated approaches such as those using time varying coefficient models. I also provide evidence on which sets of predictors are relevant for forecasting in each period. In the second essay (Chapter 3) I address the issue of improving the forecasting performance of vector autoregressions (VARs) when the set of available predictors is inconveniently large to handle with methods and diagnostics used in traditional small-scale models. First, I summarize available information from a large dataset into a considerably smaller set of variables through factors estimated using standard principal components. However, even in the case of reducing the dimension of the data the true number of factors may still be large. For that reason I introduce in my analysis simple and efficient Bayesian model selction methods. I conduct model estimation and selection of predictors automatically through a stochastic search variable selection (SSVS) algorithm which requires minimal input by the user. I apply these methods to forecast 8 main U.S. macroeconomic variables using 124 potential predictors. I find improved out of sample fit in high dimensional specifications that would otherwise suffer from the proliferation of parameters. Finally, in the third essay (Chapter 4) I develop methods for automatic selection of variables in forecasting Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I extend the algorithms of Chapter 3 and provide computationally efficient algorithms for stochastic variable selection in generic (linear and nonlinear) VARs. The performance of the proposed variable selection method is assessed in a small Monte Carlo experiment, and in forecasting four short macroeconmic series for the UK using time-varying parameters vector autoregressions (TVP-VARs). I find that restricted models consistently improve upon their unrestricted counterparts in forecasting, showing the merits of variable selection in selecting parsimonious models.

Download or read book Three Essays on Share Contracts Labor Supply and the Estimation of Models for Dynamic Panel Data written by Seung Chan Ahn and published by . This book was released on 1990 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Time Series Macroeconomics written by Pedro H. Albuquerque and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first two chapters of this thesis propose new time-series methods and apply them to macroeconomic problems, while the third chapter evaluates the predictions of a dynamic general equilibrium model. The first chapter develops a practical log-linear aggregation procedure, which is applied to the heterogeneous growth problem in the U.S. The second chapter presents a simple nonparametric long-run correlation estimator with optimal lag-selection and alignment criteria, and uses it to measure interconnections between American and Latin-American stock returns. The third chapter uses a dynamic general equilibrium model to analyze the effects of bank account debits taxation. Time-series techniques are employed to empirically evaluate the model predictions. In the first chapter, a practical aggregation method for heterogeneous log-linear functions is presented. Inequality measures are employed in the construction of an exact representation of the aggregate behavior of an economy formed by heterogeneous log-linear agents. The exact aggregate representation is relatively simple and intuitive. It can be used thereafter in applied issues and in teaching, easing the solving and understanding of aggregation problems. Three macroeconomic applications are discussed: the aggregation of the Lucas supply function, the time-inconsistent behavior of an egalitarian social planner facing heterogeneous discount rates, and the case of a simple heterogeneous growth model. The latter application, which leads to a decomposition of growth rates of the mean into means of growth rates plus inequality changes, is explored empirically. Aggregate CPS data is used to show that, when inequality changes are taken in consideration, the slowdown that followed the first oil shock appears to be worse than usually thought. Additionally, the “new economy” growth resurgence seems less impressive when compared to the growth performance of the period that preceded the first oil shock. In the second chapter, a simple consistent nonparametric estimator of the long-run correlation between two variables is proposed, based on the estimation of the bivariate k-lag difference correlation. It is shown that the estimator is asymptotically equivalent to the Bartlett kernel spectral estimator of the complex coherency at frequency zero. The asymptotic distribution is derived, with a test for the absence of long-run correlation. Optimal lag-selection and alignment criteria are presented. Monte Carlo experiments show that the asymptotic approximations are satisfactory, sometimes even for small samples. They also reveal that the lag-selection and alignment criteria are effective. Long-run correlations between American and Latin-American stock returns are considered. The estimates increase substantially in the second half of the nineties. The results could indicate the presence of a correlation component common to Latin-American markets, which was important in the second half of the period but not in the first. The significant development of investment funds specialized in Latin-American markets and the much-improved foreign access after capital account liberalization in the region may be among the explanations for these patterns. The third chapter uses a dynamic general equilibrium model to study the economic effects of bank account debits (BAD) taxation. Australia and various Latin-American countries have levied or levy BAD taxes. Theoretical aspects such as tax cascading, financial disintermediation, market illiquidity, impacts on dividend and interest rates, tax revenue, government deficit, and effective rates on final transactions are considered. The Brazilian BAD tax (CPMF) experience is evaluated. The empirical analysis shows that revenue productivity appears to be very sensitive to the tax rate, engendering a Laffer curve. It is also shown that there may be impacts on real interest rates. Part of the BAD tax revenue can be lost due to increased interest payments on government debt. Furthermore, the deadweight losses seem to be significant if compared to revenues. Theory and evidence indicate that the BAD acronym is perhaps more than a witticism.

Download or read book Three Essays in Econometrics written by Chaojun Li (Economist) and published by . This book was released on 2020 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: Regime-switching models have been applied extensively to study how time-series patterns change across different underlying economic states, such as boom and recession, high-volatility and low-volatility financial market environments, and active and passive monetary and fiscal policies. Among various models with regime switching, endogenous regime-switching models have the most general form of the regime process by allowing the determination of regimes to depend on the realizations of observations. The first chapter, jointly written with Yan Liu, proves consistency and asymptotic normality of the maximum likelihood estimator of the endogenous regime-switching models. The dynamic pattern of a time series may change abruptly as the underlying economic environment shifts and, at the same time, may also vary smoothly with other macroeconomic variables. The Markov-switching state-space model accommodates the two types of changes. For this class of models, it is computationally infeasible to calculate the exact likelihood function through the Kalman filter because of the path dependence on regimes. Approximation is widely applied in practice by truncating the path of regimes, but the statistical properties of the estimator based on approximation have not been examined. The second chapter fills the gap and shows consistency and asymptotic normality of the approximated maximum likelihood estimator. In the "big data" era, the large-dimensional factor model proves useful in extracting information from high-dimensional time series, by assuming a small number of factors can summarize the co-movement. In the third chapter, I propose a new method to estimate large-dimensional factor models with two types of structural breaks--in factor loadings and in the number of factors. Such breaks, if undetected, can lead to the estimation of pseudo factors instead of true factors. Compared to the existing method in the literature, the proposed method is computationally faster. Moreover, the estimated break ratios converge at a faster rate.