C32

Multiple or Simultaneous Equation Models: Time-Series Models

Testing for Group-Wise Convergence with an Application to Euro Area Inflation

JEL codes: 
C32, E31
Keywords: 
Version Date: 
Dec 2008
Author/s: 
Abstract: 

We propose a new procedure to increase the power of panel unit root tests when used to study

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Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)

JEL codes: 
C32, E30
Version Date: 
Jan 2007
Author/s: 
Abstract: 

In Bayesian analysis of dynamic stochastic general equilibrium (DSGE) prior distributions for some of the taste-and-technology parameters can be obtained from microeconometric or pre-sample evidence, but it is difficult to elicit priors for the parameters that govern the law of motion of unobservable exogenous processes.

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On the Fit and Forecasting Performance of New Keynesian Models

JEL codes: 
C11, C32, C53
Version Date: 
Dec 2004
Author/s: 
Abstract: 

The Paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR), and then systematically relax the implied cross-equation restrictions.

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Convergence and Cycles in the Euro Zone

JEL codes: 
C32, O40
Version Date: 
Oct 2004
Author/s: 
Abstract: 

Multivariate unobserved components (structural) time series models are fitted to annual post-war observations on real income per capita in countries in the euro zone. The aim is to establish stylized facts about convergence as it relates both to long-run income levels and to cycles.

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Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons

JEL codes: 
C12, C32, F40
Version Date: 
Aug 2004
Author/s: 
Abstract: 

Existing methods for constructing confidence bands for multivariate impulse response functions depend on auxiliary assumptions on the order of integration of the variables. Thus, they may have poor coverage at long lead times when variables are highly persistent. Solutions that have been proposed in the literature may be computationally challenging.

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Interpolation and Backdating with A Large Information Set

JEL codes: 
C32, C43, C82
Version Date: 
Sep 2004
Abstract: 

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly estimated.

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What Caused the Early Millennium Slowdown? Evidence Based on Vector Autoregressions

JEL codes: 
C32, E32
Version Date: 
Sep 2003
Author/s: 
Abstract: 

This Paper uses a simple VAR for the industrialized world (aggregate of 17 countries), the US and the euro area to analyse the underlying shocks of the recent slowdown, i.e. supply, demand, monetary policy and oil price shocks. The results of two identification strategies are compared.

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Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management

JEL codes: 
C32, C52, C53, G11
Version Date: 
Sep 2005
Abstract: 

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management.

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Where Are We Now? Real-Time Estimates of the Macro Economy

JEL codes: 
C32, E37
Version Date: 
Sep 2005
Author/s: 
Abstract: 

This paper describes a method for calculating daily real-time estimates of the current state of the US economy. The estimates are computed from data on scheduled US macroeconomic announcements using an econometric model that allows for variable reporting lags, temporal aggregation, and other complications in the data.

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