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Displaying results 1 to 8 of 8.

  1. Long term care and longevity
    Author: Gouriéroux, Christian; Lu, Yang
    Published: 2013
    Publisher:  CREST, [s.l.]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 659 (2013,16)
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    Unlimited inter-library loan, copies and loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Série des documents de travail / Centre de Recherche en Economie et Statistique ; 2013,16
    Subjects: Longevity; Long Term Care (LTC); Semi-Competing Risks; Unobserved Heterogeneity; Dynamic Frailty; Affine Process; Partial Observability; Identification; Markov Chain Monte-Carlo
    Scope: 63 S., graph. Darst.
    Notes:

    Parallel als Online-Ausg. erschienen
  2. The fiscal theory of the price level
    identification and testing for the UK in the 1970s
    Author: Fan, Jingwen; Minford, Patrick; Ou, Zhirong
    Published: 2013
    Publisher:  Cardiff Univ, Cardiff Business School, Economics Section, Cardiff

    We investigate whether the Fiscal Theory of the Price Level (FTPL) can explain UK inflation in the 1970s. We confront the identification problem involved by setting up the FTPL as a structural model for the episode and pitting it against an... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 159 (2013,12)
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    We investigate whether the Fiscal Theory of the Price Level (FTPL) can explain UK inflation in the 1970s. We confront the identification problem involved by setting up the FTPL as a structural model for the episode and pitting it against an alternative Orthodox model; the models have a reduced form that is common in form but, because each model is over-identified, numerically distinct. We use indirect inference to test which model could be generating the VECM approximation to the reduced form that we estimate on the data for the episode. Neither model is rejected, though the Orthodox model outperforms the FTPL. But the best account of the period assumes that expectations were a probability-weighted combination of the two regimes.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/109052
    Series: Cardiff economics working papers ; E2013/12
    Subjects: Finanzpolitik; Inflationsrate; Preisniveau; Ökonometrisches Modell; Schätzung; Großbritannien; UK Inflation; Fiscal Theory of the Price Level; Identification; Testing; Indirect inference
    Scope: Online-Ressource (32 S.), graph. Darst.
  3. Bayesian estimation of sparse dynamic factor models with order-independent identification
    Author: Kaufmann, Sylvia; Schumacher, Christian
    Published: 2013
    Publisher:  Study Center Gerzensee, Gerzensee

    The analysis of large panel data sets (with N variables) involves methods of dimension reduction and optimal information extraction. Dimension reduction is usually achieved by extracting the common variation in the data into few factors (k, where k... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 529 (2013,4)
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    No inter-library loan

     

    The analysis of large panel data sets (with N variables) involves methods of dimension reduction and optimal information extraction. Dimension reduction is usually achieved by extracting the common variation in the data into few factors (k, where k << N). In the present project, factors are estimated within a state space framework. To obtain a parsimonious representation, the N x k factor loading matrix is estimated under a sparse prior, which assumes that either many zeros may be present in each column of the matrix, or many rows may contain zeros. The significant factor loadings in columns define the variables driven by specific factors and offer an explicit interpretation of the factors. Zeros in rows indicate irrelevant variables which do not add much information to the inference. The contribution includes a new way of identification which is independent of variable ordering and which is based on semi-orthogonal loadings.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/128082
    Series: Working paper / Study Center Gerzensee ; 13.04
    Subjects: Dynamic factor model; Identification; Sparsity
    Scope: Online-Ressource (35 S.), graph. Darst.
  4. Identifying volatility signals from time-varying simultaneous stock market interaction
    conference paper
    Author: Strohsal, Till; Weber, Enzo
    Published: 2013
    Publisher:  ZBW, [Kiel

    In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being considered an indicator of either information flow or uncertainty. We show in a stylized model economy that both views suggest... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DSM 13
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    In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being considered an indicator of either information flow or uncertainty. We show in a stylized model economy that both views suggest volatility-dependent cross-market spillovers. If higher volatility in one market leads to higher (lower) reactions in another market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where structural ARCH-type variances serve two purposes: governing the time variation of spillovers and ensuring statistical identification. The model is applied to data of US and further stock markets. Indeed, we find strong nonlinear, volatility-dependent effects.

     
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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/79903
    Series: Array ; V3
    Subjects: Information; Uncertainty; Spillover; Simultaneous Equations; Identification
    Scope: Online-Ressource (30 S.), graph. Darst.
  5. Long term care and longevity
    Author: Gouriéroux, Christian; Lu, Yang
    Published: 2013
    Publisher:  Pensions Inst., Cass Business School, City Univ., London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Speicherung
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / the Pensions Institute, Cass Business School, City University ; 1306
    Subjects: Longevity; Long Term Care (LTC); Semi-Competing Risks; Unobserved Heterogeneity; Dynamic Frailty; Affine Process; Partial Observability; Identification; Markov Chain Monte-Carlo
    Scope: Online-Ressource (63 S.), graph. Darst.
  6. Covariates and causal effects
    the problem of context
    Author: Aliprantis, Dionissi
    Published: 2013
    Publisher:  Federal Reserve Bank of Cleveland, Cleveland, Ohio

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Speicherung
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Federal Reserve Bank of Cleveland ; 1310
    Subjects: Identification; Prediction; Direct Effect; Total Effect; Dynamics; Dynamic Covariates; Dynamic Principal Strata; Lucas Critique; Transportability across Time; Exogeneity
    Scope: Online-Ressource (43 S.), graph. Darst.
  7. Comparing two methods for the identification of news shocks
    Author: Beaudry, Paul; Portier, Franck; Seymen, Atılım
    Published: 2013
    Publisher:  ZEW, Mannheim

    Recent empirical literature delivered, based on different structural VAR approaches, controversial results concerning the role of anticipated technology-news-shocks in business cycle fluctuations. We deal with this controversy and investigate (i) the... more

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Location:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 15 (2013,110)
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    Recent empirical literature delivered, based on different structural VAR approaches, controversial results concerning the role of anticipated technology-news-shocks in business cycle fluctuations. We deal with this controversy and investigate (i) the extent to thich two prominent structural VAR approaches can be usefull in recuperating news shock dynamics from artificially generated data in general and (ii) why and to what extent these SVAR approaches differ in the results the deliver in particular. Thereby, we provide several insights for the users of both VAR techniques with small samples in practice.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/88693
    Series: Discussion paper / ZEW ; 13-110
    Subjects: News Shocks; Structural VAR; Identification
    Scope: Online-Ressource (44 S.), graph. Darst.
  8. Sequential identification of technological news shocks
    Author: Seymen, Atılım
    Published: 2013
    Publisher:  ZEW, Mannheim

    In an influential recent paper, Beaudry and Portier (2006) propose a sequential approach for identifying technological news shocks. Thereby, the correlation coefficient between news shocks of a short-run identification scheme and technology shocks of... more

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    Inter-library loan:
    No inter-library loan

    Location:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Inter-library loan:
    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 15 (2013,111)
    Inter-library loan:
    No inter-library loan

     

    In an influential recent paper, Beaudry and Portier (2006) propose a sequential approach for identifying technological news shocks. Thereby, the correlation coefficient between news shocks of a short-run identification scheme and technology shocks of a long-run identification scheme in the VAR framework measures the extent to which news incorporated into forward-looking variables could reflect future technological developments. While structural VARs can potentially provide a useful guide for modelers as well as policy-makers, the ability of such models to recuperate structural shocks in general and news shocks in particular from the data is a contentious issue in the literature. In the current paper, I find by means of Monte Carlo simulations that the sequential approach can be quite successful in recuperating technological news shocks from artificial data.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/88694
    Series: Discussion paper / ZEW ; 13-111
    Subjects: News Shocks; Identification; Structural Vector Autoregressive Model
    Scope: Online-Ressource (31 S.), graph. Darst.