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Econometrics and Mathematical Economics x Prices, Business Fluctuations, and Cycles x clear all

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Ambiguity Aversion and Asset Prices in Production Economies

Mohammad R. Jahan-Parvar and Hening Liu.

in The Review of Financial Studies

October 2014; p ublished online June 2014 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Information, Knowledge, and Uncertainy; Prices, Business Fluctuations, and Cycles; Economics. 16760 words.

We examine a production-based asset-pricing model with an unobservable mean growth rate following a two-state Markov chain and with an ambiguity-averse representative agent. Our model...

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Barriers to retail competition and prices: evidence from Spain

Alexander W. Hoffmaister.

in Oxford Economic Papers

April 2010; p ublished online October 2009 .

Journal Article. Subjects: Prices, Business Fluctuations, and Cycles; Single Equation Models; Single Variables; Market Structure and Pricing. 6657 words.

Why do prices in Spain's regions fail to converge? The prime suspects for this puzzling result are differences in regional barriers to entry in retail distribution. This paper develops a...

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Calculating Rural-Urban Food Price Differentials from Unit Values in Household Expenditure Surveys: A Comparison with Existing Methods and A New Procedure

Amita Majumder, Ranjan Ray and Kompal Sinha.

in American Journal of Agricultural Economics

October 2012; p ublished online July 2012 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Household Behaviour and Family Economics; Urban, Rural, and Regional Economics; Prices, Business Fluctuations, and Cycles; Household Analysis. 9385 words.

While purchasing power parity (PPP) between countries has received a great deal of attention, PPP calculations within countries have received less attention. The idea that one unit of...

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Detecting and Predicting Forecast Breakdowns

Raffaella Giacomini and Barbara Rossi.

in The Review of Economic Studies

April 2009; p ublished online April 2009 .

Journal Article. Subjects: Monetary Policy, Central Banking, and the Supply of Money and Credit; Prices, Business Fluctuations, and Cycles; Econometric Modelling. 12604 words.

We propose a theoretical framework for assessing whether a forecast model estimated over one period can provide good forecasts over a subsequent period. We formalize this idea by defining a...

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Discretionary Policy and Multiple Equilibria in LQ RE Models

Andrew P. Blake and Tatiana Kirsanova.

in The Review of Economic Studies

October 2012; p ublished online June 2012 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Prices, Business Fluctuations, and Cycles; Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook; Monetary Policy, Central Banking, and the Supply of Money and Credit. 13114 words.

We study stationary discretionary equilibria in dynamic linear-quadratic rational expectations models. Past papers have assumed that this is uniquely determined; we show that such models...

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The effectiveness of economic policy and position in the cycle: the case of tax reductions on overtime in France

Eric Heyer.

in Oxford Review of Economic Policy

July 2011; p ublished online July 2011 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Macroeconomics: Consumption, Saving, Production, Employment, and Investment; Labour and Demographic Economics; Prices, Business Fluctuations, and Cycles; Single Equation Models; Single Variables. 6362 words.

The economic situation of all the major developed countries has changed significantly during the 2007–10 period. Yet many economic policies have been kept in place. This is true in...

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Efficient Likelihood Evaluation of State-Space Representations

David N. DeJong, Roman Liesenfeld, Guilherme V. Moura, Jean-François Richard and Hariharan Dharmarajan.

in The Review of Economic Studies

April 2013; p ublished online December 2012 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Prices, Business Fluctuations, and Cycles. 11513 words.

We develop a numerical procedure that facilitates efficient likelihood evaluation in applications involving non-linear and non-Gaussian state-space models. The procedure employs continuous...

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Estimating Macroeconomic Models: A Likelihood Approach

Jesús Fernández-Villaverde and Juan F. Rubio-Ramírez.

in The Review of Economic Studies

October 2007; p ublished online October 2007 .

Journal Article. Subjects: General Aggregative Models; Prices, Business Fluctuations, and Cycles; Econometric Modelling. 11541 words.

This paper shows how particle filtering facilitates likelihood-based inference in dynamic macroeconomic models. The economies can be non-linear and/or non-normal. We describe how to use the...

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Estimating nonlinear effects of fiscal policy using quantile regression methods

Ludger Linnemann and Roland Winkler.

in Oxford Economic Papers

October 2016; p ublished online May 2016 .

Journal Article. Subjects: Prices, Business Fluctuations, and Cycles; Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook; Multiple or Simultaneous Equation Models; Multiple Variables. 10744 words.

We estimate nonlinear effects of government spending shocks on US macroeconomic activity using quantile regression methods. This amounts to allowing regression parameters to depend on how...

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Estimation and Forecasting in Models with Multiple Breaks

Gary Koop and Simon M. Potter.

in The Review of Economic Studies

July 2007; p ublished online July 2007 .

Journal Article. Subjects: Macroeconomics: Consumption, Saving, Production, Employment, and Investment; Prices, Business Fluctuations, and Cycles; Econometric Modelling. 12102 words.

This paper develops a new approach to change-point modelling that allows the number of change-points in the observed sample to be unknown. The model we develop assumes that regime durations...

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