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Creator: Martin, Vance, 1955- and Pagan, Adrian R. Series: Simulation-based inference in econometrics Abstract:
Procedures for computing the parameters of a broad class of multifactor continuous time models of the term structure based on indirect estimation methods are proposed. The approach consists of simulating the unknown factors from a set of stochastic differential equations which are used to compute synthetic bond yields. The bond yields are calibrated with actual bond yields via an auxiliary model. The approach circumvents many of the difficulties associated with direct estimation of this class of models using maximum likelihood. In particular, the paper addresses the identification issues arising from singularities in the yields and spreads which tend not to be recognised in existing estimation procedures and thereby overcome potential misspecification problems inherrent in direct methods. Indirect estimates of single and multifactor models are computed and compared with the estimates based on existing estimation procedures.
Parola chiave: Continous time models, Indirect estimation, Multifactor models, Term structure, Testing factor models, Stochastic differential equations, and Singularities Soggetto: C30 - Multiple or simultaneous equation models - General, C51 - Econometric modeling - Model construction and estimation, and G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates
Creator: Wallace, Neil. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 16 Descrizione:
Paper presented at the meeting of the System Committee on Financial Analysis, Minneapolis, October, 1971.
Parola chiave: Least squares regression, Regressions, Monetarism, and Money stock Soggetto: C30 - Multiple or simultaneous equation models - General, E52 - Monetary policy, central banking, and the supply of money and credit - Monetary policy, and C20 - Single equation models ; Single variables - General
Creator: Muench, Thomas J., Rolnick, Arthur J., 1944-, Wallace, Neil., and Weiler, William. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 19 Abstract:
Prediction interval tests are applied to the reduced forms of two quarterly models of the U.S. (the "old" FRB-MIT model and the Michigan model). The results illustrate the range of tests one can perform on an estimated simultaneous equation model. In particular, the tests determine whether ex post forecast errors can be attributed to structural deficiencies of the models. The paper examines confidence regions and other aspects of forecast distributions-comparisons between mean forecasts and nonstochastic forecasts, comparisons between ,forecast variances from multiperiod endogenous simulations and those from oneperiod simulations, and comparisons between forecast variances and residual variances.
Parola chiave: Michigan quarterly model, FRB-MIT quarterly model, and Monte Carlo experiment Soggetto: C30 - Multiple or simultaneous equation models - General, C52 - Econometric modeling - Model evaluation and selection, and C53 - Econometric modeling - Forecasting and other model applications