[PDF] Essays On Macroeconomic Analyses With Factor Models eBook

Author : David Currie
Publisher : Routledge
Page : 360 pages
File Size : 44,59 MB
Release : 2015-09-16
Category : Business & Economics
ISBN : 1317377680

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Bringing together the proceedings of the 1979 and 1980 annual conferences of the Association of University Teachers of Economics the papers in this volume discuss: the effect of social security on private saving; an analysis of aggregate consumer behaviour; the philosophy and objectives of econometrics and other topics in macroeconomic and econometric analysis.

Author : Michael P. Clements
Publisher : OUP USA
Page : 732 pages
File Size : 47,74 MB
Release : 2011-07-08
Category : Business & Economics
ISBN : 0195398645

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Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.

Author : Marc Nerlove
Publisher : Cambridge University Press
Page : 388 pages
File Size : 48,46 MB
Release : 2005-11-10
Category : Business & Economics
ISBN : 9780521022460

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This volume collects seven classic essays on panel data econometrics, and a cogent essay on the history of the subject.

Author : Yohei Yamamoto
Publisher :
Page : 346 pages
File Size : 21,42 MB
Release : 2009
Category :
ISBN :

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Abstract: Structural break and factor models have recently been active research areas in time series econometrics. Over the last fifteen years, growing attention has been paid to estimating and testing for multiple structural changes with unknown change points in both theoretical and applied research. Also, estimation and inferential methods for factor models with many observations have received increasing attention. In this dissertation, I make further theoretical contributions in these areas and present empirical macroeconomic applications. In chapter one, I re-examine the relevance of asymptotic optimality criteria in the context of testing for structural break. I critically evaluate Elliott and Müller (2006), who derived a so-called optimal test against the alternative of general parameter variation. However, their framework is based on the assumption that the variation of the parameter process goes to zero at a fast rate. As documented by Kim and Perron (2007), the relative asymptotic efficiency among structural break tests can be different when using the approximate Bahadur slope as the efficiency criterion. Using this measure, I show that the simple Sup-Wald test dominates the Elliott and Müller (2006) test, both in terms of the asymptotic Bahadur efficiency and the finite sample performance. In chapter two, I consider the problem of estimating and testing multiple structural breaks in linear models with endogenous regressors. Based on the results of Perron and Qu (2006), I provide a concise proof of the consistency of the break date estimates obtained via the instrumental variable (IV) method. More importantly, I show that using a method based on ordinary least squares leads to more efficient estimates and more powerful tests compared to using IV procedures when endogeneity is present. In chapter three, I investigate inference problems in factor models in the context of factor-augmented vector autoregressions (FAVAR). I consider identification problems in models with latent processes and propose a bootstrap procedure with factor re-estimation. It is shown to provide improvements over the commonly used bootstrap method suggested by Bernanke, Boivin and Eliasz (2005).

Author : Roberto Dieci
Publisher : Springer
Page : 384 pages
File Size : 46,33 MB
Release : 2014-07-26
Category : Business & Economics
ISBN : 3319074709

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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.

Author : Daniel Little
Publisher : Springer Science & Business Media
Page : 288 pages
File Size : 19,70 MB
Release : 2012-12-06
Category : Business & Economics
ISBN : 9401106436

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This volume represents a contribution to the philosophy of economics with a distinctive point of view -- the contributors have selected particular areas of economics and have probed these areas for the philosophical and methodological issues that they raise. The primary essays are written by philosophers concentrating on philosophical issues that arise at the level of the everyday theoretical practice of working economists. Commentary essays are provided by working economists responding to the philosophical arguments from the standpoint of their own disciplines. The volume thus represents something of an `experiment' in the philosophy of science, striving as it does to explore methodological issues across two research communities. The purpose of the volume is very specific: to stimulate a discussion of the epistemology and methodology of economics that works at the level of detail of existing `best practice' in economics today. The contributors have designed their contributions to stimulate productive conversation between philosophers and economists on topics in the methodology of economics.