Creator: Gourieroux, Christian, 1949, Renault, Eric., and Touzi, Nizar. Series: Simulation-based inference in econometrics Abstract:
This paper is interested in the small sample properties of the indirect inference procedure which has been previously studied only from an asymptotic point of view. First, we highlight the fact that the Andrews (1993) median-bias correction procedure for the autoregressive parameter of an AR(1) process is closely related to indirect inference; we prove that the counterpart of the median-bias correction for indirect inference estimator is an exact bias correction in the sense of a generalized mean. Next, assuming that the auxiliary estimator admits an Edgeworth expansion, we prove that indirect inference operates automatically a second order bias correction. The latter is a well known property of the Bootstrap estimator; we therefore provide a precise comparison between these two simulation based estimators.
Keyword: Edgeworth correction, Econometrics, Bootstrap, Bias correction, Economic models, Indirect inference, and Simulation Subject (JEL): C13 - Econometric and statistical methods : General - Estimation, C15 - Econometric and statistical methods : General - Simulation methods, C32 - Multiple or simultaneous equation models - Time-series models ; Dynamic quantile regressions, and C22 - Single equation models ; Single variables - Time-series models ; Dynamic quantile regressions
Creator: Barbosa, Antonio S. Pinto., Jovanovic, Boyan, 1951-, and Spiegel, Mark. Series: Conference on economics and politics Abstract:
This paper analyzes how political stability depends on economic factors. Fluctuations in groups' economic capacities and in their abilities to engage in rent-seeking or predatory behavior create periodic incentives for those groups to renege on their social obligations. A constitution remains in force so long as no party wishes to defect to the noncooperative situation, and it is reinstituted as soon as each party finds it to its advantage to revert to cooperation. Partnerships of equals are easier to sustain than are arrangements in which one party is more powerful in some economic or noneconomic trait. In this sense, inequality is bad for social welfare. Surprisingly, perhaps, it is the rich, and not the poor segments of society who in our model pose the greater threat to the stability of the social order. Using cross-country data, we test and confirm the prediction that most constitutional disruptions should be accompanied by increases in income inequality.
Keyword: Welfare, Social problems, Interest groups, and Economic models Subject (JEL): E52 - Monetary policy, central banking, and the supply of money and credit - Monetary policy and D72 - Analysis of collective decision-making - Models of political processes : Rent-seeking, elections, legislatures, and voting behavior
Creator: Greenwood, Jeremy, 1953- and Williamson, Stephen D. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 363 Abstract:
A two country overlapping generations model is constructed, in which financial intermediation arises endogenously as an incentive compatible means of economizing on monitoring costs. Because of international credit markets. The model is used to generate the existence of transaction costs, money markets in the two countries are segmented and investors have differential access to predictions concerning the role of international intermediation in economic development, and to examine the nature of business cycle phenomena across alternative exchange rate regimes. Disturbances are propagated by a credit allocation mechanism, which also lends a novel flavor to the model's long run properties.
Keyword: Generations, Economic models, Business cycles, Financial policy , and Exchange rate Subject (JEL): E32 - Business Fluctuations; Cycles and F41 - Open Economy Macroeconomics
Creator: Wallace, Neil Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 000 Description:
This paper was published with no issue number.
Keyword: Policy studies , Neutrality view, Forecasts, and Economic models Subject (JEL): E17 - General Aggregative Models: Forecasting and Simulation: Models and Applications, R15 - General Regional Economics: Econometric and Input-Output Models; Other Models, and E52 - Monetary Policy