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横截面乘数估计值得信赖吗？AI 解读

Summary I examine the properties of cross‐sectional estimators of multipliers, elasticities, or pass‐throughs when a conventional spatial macroeconomic specification generates the data. A number of important biases plague standard estimates; the most relevant one occurs when the units display heterogeneous dynamics. Methods that work well in this situation are suggested. An experimental setting shows the magnitude of the biases cross‐sectional estimators display. Average…

结构宏观计量模型中的误设处理AI 解读

We consider a set of potentially misspecified structural models, geometrically combine their likelihood functions, and estimate the parameters using composite methods. In a Monte Carlo study, composite estimators dominate likelihood‐based estimators in mean squared error and composite models are superior to individual models in the Kullback–Leibler sense. We describe Bayesian quasi‐posterior computations and compare our approach to Bayesian model averaging, finite mixture,…

过度识别、非递归与时变系数结构向量自回归的估计AI 解读

This paper provides a general procedure to estimate structural vector autoregressions. The algorithm can be used in constant or time-varying coefficient models, and in the latter case, the law of motion of the coefficients can be linear or nonlinear. It can deal in a unified way with just-identified (recursive or nonrecursive) or overidentified systems where identification restrictions are of linear or of nonlinear form. We study the transmission of monetary policy shocks in…

奇异DSGE模型估计中的变量选择AI 解读

SUMMARY We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables that optimizes parameter identification; the second selects the vector that minimizes the informational discrepancy between the singular and non‐singular model. An application to a standard model is discussed and the estimation properties of different setups compared. Practical suggestions for…

美国通胀动态：货币政策能否解释其变化？AI 解读

We investigate the relationship between monetary policy and inflation dynamics in the US using a medium scale structural model. The specification is estimated with Bayesian techniques and fits the data reasonably well. Policy shocks account for a part of the decline in inflation volatility; they have been less effective in triggering inflation responses over time and qualitatively account for the rise and fall in the level of inflation. A number of structural parameter…

利用多种滤波方法估计周期性 DSGE 模型AI 解读

We propose a method to estimate time in variant cyclical DSGE models using the information provided by a variety of filters. We treat data filtered with alternative procedures as contaminated proxies of the relevant model-based quantities and estimate structural and non-structural parameters jointly using a signal extraction approach. We employ simulated data to illustrate the properties of the procedure and compare our conclusions with those obtained when just one filter is…

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季节模式是否随时间保持不变？季节稳定性检验AI 解读

This paper introduces Lagrange multiplier tests of the null hypothesis of no unit roots at seasonal frequencies against the alternative of a unit root at either a single seasonal frequency or a set of seasonal frequencies. The tests complement those of D. Dickey, D. Hasza, and W. Fuller (1984) and S. Hylleberg, et al. (1990), which examine the null of seasonal unit roots. The authors derive an asymptotic distribution theory for the tests and investigate their size and power…

校准模型中的统计推断AI 解读

This paper describes a Monte Carlo procedure to assess the performance of calibrated dynamic general equilibrium models. The procedure formalizes the choice of parameters and the evaluation of the model and provides an efficient way to conduct a sensitivity analysis for perturbations of the parameters within a reasonable range. As an illustration the methodology is applied to two problems: the equity premium puzzle and how much of the variance of actual U.S. output is…

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季节性时间序列建模与预测的另一种方法AI 解读

This article proposes an alternative methodology for modeling and forecasting seasonal series. The approach is in the Bayesian autoregression tradition pioneered by Doan, Litterman, and Sims and builds seasonality directly into the prior of the coefficients of the model by means of a set of uncertain linear restrictions. As an illustration, the method is applied to 10 U.S. quarterly macroeconomic series. For each series, the author compares the forecasting performance of a…

日元兑美元外汇市场风险溢价的时间序列性质AI 解读

Abstract In this paper a VAR model is employed to construct a measure of the conditional expectations of the future yen/dollar spot rate. This measure allows us to examine the dynamics of an ex‐ante time‐series for the risk premium in the market. The VAR model produces ‘better’ forecasts than the survey responses for turbulent periods such as 1981–1982 and 1984–1985. The VAR‐generated expectations are then used to construct a risk premium time‐series. This risk premium…