Risultati della ricerca
Creator: Fuentes-Albero, Cristina, 1980-, Kryshko, Maxym, Ríos-Rull, José-Víctor, Santaeulalia-Llopis, Raul, and Schorfheide, Frank Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 433 Abstract:
In this paper, we employ both calibration and modern (Bayesian) estimation methods to assess the role of neutral and investment-specific technology shocks in generating fluctuations in hours. Using a neoclassical stochastic growth model, we show how answers are shaped by the identification strategies and not by the statistical approaches. The crucial parameter is the labor supply elasticity. Both a calibration procedure that uses modern assessments of the Frisch elasticity and the estimation procedures result in technology shocks accounting for 2% to 9% of the variation in hours worked in the data. We infer that we should be talking more about identification and less about the choice of particular quantitative approaches.
Creator: Schorfheide, Frank and Song, Dongho Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 701 Abstract:
This paper develops a vector autoregression (VAR) for macroeconomic time series which are observed at mixed frequencies – quarterly and monthly. The mixed-frequency VAR is cast in state-space form and estimated with Bayesian methods under a Minnesota-style prior. Using a real-time data set, we generate and evaluate forecasts from the mixed-frequency VAR and compare them to forecasts from a VAR that is estimated based on data time-aggregated to quarterly frequency. We document how information that becomes available within the quarter improves the forecasts in real time.
Parola chiave: Vector autoregressions, Real-time data, Bayesian methods, and Macroeconomic forecasting Soggetto: C11 - Bayesian Analysis: General, C32 - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models, and C53 - Forecasting Models; Simulation Methods