Index Catalog // Research Database

Credit Cycles

Creator:	Kiyotaki, Nobuhiro and Moore, John, 1954-
Series:	Macroeconomics with heterogenous agents, incomplete markets, liquidity constraints, and transaction costs
Subject (JEL):	E44 - Financial Markets and the Macroeconomy and E32 - Business Fluctuations; Cycles

Comments on Granger-Newbold's "Time Series Approach to Econometric Model Building" and Sargent-Sims' "Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory"

Creator:	Hendry, David F.
Series:	New methods in business cycle research
Subject (JEL):	E32 - Business Fluctuations; Cycles, C52 - Model Evaluation, Validation, and Selection, and C58 - Financial Econometrics

Exogeneity and Causal Ordering in Macroeconomic Models

Creator:	Sims, Christopher A.
Series:	New methods in business cycle research
Keyword:	Wold ordering, Structural ordering, Semantics, Granger ordering, and Behavioral ordering
Subject (JEL):	C32 - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models, C22 - Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes, and C51 - Model Construction and Estimation

Comments on Time Series Analysis and Causal Concepts in Business Cycle Research

Creator:	Zellner, Arnold
Series:	New methods in business cycle research
Keyword:	Causality, Econometric modeling, Time series , and Business cycles
Subject (JEL):	C51 - Model Construction and Estimation, C22 - Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes, C32 - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models, and E32 - Business Fluctuations; Cycles

Solving Heterogeneous Agent Models: An Application to Asset Pricing with Incomplete Markets

Creator:	Den Haan, Wouter J., 1962-
Series:	Macroeconomics with heterogenous agents, incomplete markets, liquidity constraints, and transaction costs
Abstract:	This paper is part of a project to model the interaction between heterogeneous agents in intertemporal stochastic models and to develop numerical algorithms to solve these kind of models. It is well-known that solving dynamic heterogeneous agent models is a challenging problem, since in these models the distribution of wealth and other characteristics evolve endogenously over time. Existing dynamic models in the literature contain therefore just two agents or other simplifying assumptions to limit the heterogeneity.
Subject (JEL):	C63 - Computational Techniques; Simulation Modeling and D52 - Incomplete Markets

East Asia, Europe, and the Industrial Revolution

Creator:	Pomeranz, Kenneth
Series:	Productivity and the industrial revolution
Keyword:	England, China, Industrial revolution, Industry, Europe, Great Britain, and Economic development
Subject (JEL):	O14 - Industrialization; Manufacturing and Service Industries; Choice of Technology, N00 - Economic History: General, and O57 - Comparative Studies of Countries

Simulation-Based Inference in Nonlinear State-Space Models: Application to Testing the Permanent Income Hypothesis

Creator:	Mariano, Roberto S. and Tanizaki, Hisashi
Series:	Simulation-based inference in econometrics
Keyword:	Single equation models, Permanent income hypothesis, Nonlinear filtering techniques, Transitory consumption, and Nonlinear state space models
Subject (JEL):	E21 - Macroeconomics: Consumption; Saving; Wealth, C22 - Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes, and C51 - Model Construction and Estimation

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