Download or read book Dynamic Stochastic Models from Empirical Data written by Anil Kashyap and published by Academic Press. This book was released on 1976-09-17 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic Stochastic Models from Empirical Data

Download or read book Dynamic Stochastic Models from Empirical Data written by Rangasami Laksminarayana Kashyap and published by . This book was released on 1976 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic stochastic models from empirical data.

Download or read book Dynamical Stochastic Models from Empirical Data written by Rangasami Laksminarayana Kashyap and published by . This book was released on 1976 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Dynamic Stochastic Models for Firm Dividends written by Edward P. Kao and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a framework for the empirical analysis and quantitative modeling of firm dividends viewed as discrete stochastic processes. The framework, built around the concept of sojourn intervals - the length of time that dividends remain unchanged - is first used to identify a number of striking dynamic patterns in the dividend payouts of US corporations, some of which are linked to the length of time that the firm has been paying regular dividends. For example, while it is well known that stock splits tend to be followed by dividend increases, we find a similar tendency following dividend cuts. Furthermore, changes in dividend payouts are very poor predictors of such cuts, and their frequency is inversely related to the length of time the firm has been paying dividends. The paper then provides a class of empirical models of firm dividends, based on absorbing Markov chains with phase-type structure, that are consistent with dividend discreteness, and are also sufficiently flexible to address the dynamic patterns observed in the data. An appropriately calibrated empirical model is shown to perform quite well in matching sample moments, and in simulating actual sample paths. The calibration also suggests that the empirical transition matrix of firm dividends has properties that may be generally useful in developing accurate but tractable dynamic specifications for them.

Download or read book Data Rich DSGE and Dynamic Factor Models written by Mr.Maxym Kryshko and published by International Monetary Fund. This book was released on 2011-09-01 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels of macroeconomic and financial data can be captured by relatively few common unobserved factors. Similarly, the dynamics in DSGE models are often governed by a handful of state variables and exogenous processes such as preference and/or technology shocks. Boivin and Giannoni(2006) combine a DSGE and a factor model into a data-rich DSGE model, in which DSGE states are factors and factor dynamics are subject to DSGE model implied restrictions. We compare a data-richDSGE model with a standard New Keynesian core to an empirical dynamic factor model by estimating both on a rich panel of U.S. macroeconomic and financial data compiled by Stock and Watson (2008).We find that the spaces spanned by the empirical factors and by the data-rich DSGE model states are very close. This proximity allows us to propagate monetary policy and technology innovations in an otherwise non-structural dynamic factor model to obtain predictions for many more series than just a handful of traditional macro variables, including measures of real activity, price indices, labor market indicators, interest rate spreads, money and credit stocks, and exchange rates.

Download or read book Dynamic Stochastic Models from Empirical Data written by Rangasami Laksminarayana Kashyap and published by . This book was released on 1976 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic stochastic models from empirical data.

Download or read book Moment Condition Models in Empirical Economics written by Sara Maria de Almeida Duarte Lopes Riscado and published by . This book was released on 2012 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter of this dissertation, we approach the estimation of dynamic stochastic general equilibrium models through a moments-based estimator, the empirical likelihood. We try to show that this inference process can be a valid alternative to maximum likelihood. The empirical likelihood estimator only requires knowledge about the moments of the data generating process of the model. In this context, we exploit the fact that these economies can be formulated as a set of moment conditions to infer on their parameters through this technique. For illustrational purposes, we consider the standard real business cycle model with a constant relative risk adverse utility function and indivisible labour, driven by a normal technology shock. In the second chapter, we explore further aspects of the estimation of dynamic stochastic general equilibrium models using the empirical likelihood family of estimators. In particular, we propose possible ways of tackling the main problems identified in the first chapter. These problems resume to: (i) the possible existence of dependence between the random variables; (ii) the definition of moment conditions in the dynamic stochastic general equilibrium models setup; (iii) the alternatives to the data generation process used in the first chapter. In the third chapter, we investigate the short run effects of macroeconomic and scal volatility on the decision of the policy maker on how much to consume and how much to invest. To that end, we analyse a panel of 10 EU countries during 1991-2007. Our results suggest that increases in the volatility of regularly collected and cyclical revenues such as the VAT and income taxes tend to tilt the expenditure composition in favour of public investment. In contrast, increases in the volatility of ad hoc-type of taxes such as capital taxes tend to favour public consumption spending, albeit only a little.

Download or read book A Toolkit for Analyzing Nonlinear Dynamic Stochastic Models Easily written by Harald Uhlig and published by . This book was released on 1995 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Introduction to Stochastic Modeling written by Howard M. Taylor and published by Academic Press. This book was released on 2014-05-10 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Stochastic Modeling provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.

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 Stochastic Models Statistics and Their Applications written by Ansgar Steland and published by Springer Nature. This book was released on 2019-10-15 with total page 450 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents selected and peer-reviewed contributions from the 14th Workshop on Stochastic Models, Statistics and Their Applications, held in Dresden, Germany, on March 6-8, 2019. Addressing the needs of theoretical and applied researchers alike, the contributions provide an overview of the latest advances and trends in the areas of mathematical statistics and applied probability, and their applications to high-dimensional statistics, econometrics and time series analysis, statistics for stochastic processes, statistical machine learning, big data and data science, random matrix theory, quality control, change-point analysis and detection, finance, copulas, survival analysis and reliability, sequential experiments, empirical processes, and microsimulations. As the book demonstrates, stochastic models and related statistical procedures and algorithms are essential to more comprehensively understanding and solving present-day problems arising in e.g. the natural sciences, machine learning, data science, engineering, image analysis, genetics, econometrics and finance.

Download or read book Bayesian Estimation of DSGE Models written by Edward P. Herbst and published by Princeton University Press. This book was released on 2015-12-29 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This book introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. The book covers Markov chain Monte Carlo techniques for linearized DSGE models, novel sequential Monte Carlo methods that can be used for parameter inference, and the estimation of nonlinear DSGE models based on particle filter approximations of the likelihood function. The theoretical foundations of the algorithms are discussed in depth, and detailed empirical applications and numerical illustrations are provided. The book also gives invaluable advice on how to tailor these algorithms to specific applications and assess the accuracy and reliability of the computations. Bayesian Estimation of DSGE Models is essential reading for graduate students, academic researchers, and practitioners at policy institutions.

Download or read book Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data 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 On Building Non linear Dynamical Stochastic Process Models from Empirical Data written by Allen J. Goldberg and published by . This book was released on 1988 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dynamic Stochastic General Equilibrium Models in a Liquidity Trap and Self Organizing State Space Modeling written by Koiti Yano and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a novel approach to estimate dynamic stochastic general equilibrium models in a liquidity trap. Our approach is based on the Monte Carlo particle filter and a self-organizing state space model. The main feature of this paper is that we estimate most parameters of DSGE models using the time-varying-parameter approach, which is often used to infer invariant parameters in practice. Adopting our method creates the great advantage that the structural changes of parameters are detected naturally. Therefore, our method is a framework to investigate how stable structural parameters are. Moreover, it is a great contribution that natural rates of macroeconomic data, parameters, and unknown states are estimated simultaneously. The estimates of natural rates, thus, are consistent with DSGE models. In empirical analysis, we estimate new Keynesian DSGE models in a liquidity trap using Japanese macroeconomic data, which includes the quot;zero-interest-ratequot; period (1999-2006). The analysis shows that the target rate of in inflation is too low in the 1990s and the 2000s, and it causes deflation in the Japanese economy.

Download or read book Social Dynamics Models and Methods written by Nancy Brandon Tuma and published by Elsevier. This book was released on 1984-08-28 with total page 602 pages. Available in PDF, EPUB and Kindle. Book excerpt: Social Dynamics: Models and Methods focuses on sociological methodology and on the practice of sociological research. This book is organized into three parts encompassing 16 chapters that deal with the basic principles of social dynamics. The first part of this book considers the development of models and methods for causal analysis of the actual time paths of change in attributes of individual and social systems. This part also discusses the applications in which the use of dynamic models and methods seems to have enhanced the capacity to formulate and test sociological arguments. These models and methods are useful for answering questions about the detailed structure of social change processes. The second part explores the formulation of the continuous-time models of change in both quantitative and qualitative outcomes and the development of suitable methods for estimating these models from the kinds of data commonly available to sociologists. The third part describes a stochastic framework for analyzing both qualitative and quantitative outcome of social changes. This part also discusses the sociologists' perspective on the empirical study of social change processes. This text will be of great value to sociologists and sociological researchers.

Download or read book Weighted Empirical Processes in Dynamic Nonlinear Models written by Hira L. Koul and published by Springer Science & Business Media. This book was released on 2002-06-13 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a unified approach for obtaining the limiting distributions of minimum distance. It discusses classes of goodness-of-t tests for fitting an error distribution in some of these models and/or fitting a regression-autoregressive function without assuming the knowledge of the error distribution. The main tool is the asymptotic equi-continuity of certain basic weighted residual empirical processes in the uniform and L2 metrics.