Résultats de recherche
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.
Mot-clé: Edgeworth correction, Econometrics, Bootstrap, Bias correction, Economic models, Indirect inference, and Simulation Assujettir: 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
The files below demonstrate how to calibrate the neoclassical growth model and then solve the model numerically, using data from Finland as an example.
BaseCaseCalibration.xls calibrates model parameters and derives a sequence of TFP values in the ‘calibration’ worksheet. The parameters are also saved in paramBase.txt, and the series of TFP values along with labor endowment and taxes are saved in dataBase.txt. The MATLAB program depressions.m uses these text files and solveModel.m to solve the model numerically. The output this program saves to output.xls can be used to generate the graphs in BaseCaseCalibration.xls.
These files can be used to model any economy over any period by replacing the data in BaseCaseCalibration.xls and saving the results in the correct format to paramBase.txt and dataBase.txt. The files below contain an overview of the calibration procedures, the MATLAB programs, and instructions on using the files on your own data. More details can be found in the files themselves.
Creator: Aiyagari, S. Rao. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 328 Abstract:
One purpose of this article is to exposit the relationship between life cycle models (with constructive immortality) and infinitely lived agents models. We use this to point out problems in interpreting data, especially with regard to the use of interest rates in the class of representative agent models when growth in population and per capita variables is taken into account. We also point out some common misconceptions regarding the "volume of trade" in representative agent models and show how to reconcile the savings profile of the representative agent with the life cycle savings profile in a life cycle model.
Mot-clé: Infinitely lived agents, Volume of trade, Representative agent models, Calibration, and Bequests Assujettir: D91 - Intertemporal choice and growth - Intertemporal consumer choice ; Life cycle models and saving
Creator: Braun, R. Anton. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 506 Abstract:
This paper investigates the macroeconomic effects of cyclical fluctuations in marginal tax rates. It finds that systematically including tax variables in a standard real business cycle model substantially improves the model's ability to reproduce basic facts about postwar U.S. business cycle fluctuations. In particular, modeling fluctuations in personal and corporate income tax rates increases the model's predicted relative variability of hours and decreases its predicted correlation between hours and average productivity. Fluctuations in tax rates produce large substitution effects that alter the leisure/labor supply decision.
Mot-clé: Tax rates, Real business cycle model, Corporate tax , Tax, Productivity, Taxation, Taxes, Business cycle, and Income tax Assujettir: E32 - Prices, business fluctuations, and cycles - Business fluctuations ; Cycles, H24 - Taxation, subsidies and revenue - Personal income and other nonbusiness taxes and subsidies, and H25 - Taxation, subsidies and revenue - Business taxes and subsidies
Creator: Boyd, John H. and Smith, Bruce D., d. 2002. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 512 Abstract:
We investigate ex-ante efficient contracts in an environment in which implementation is costless. In this environment, standard debt contracts will typically not be optimal. Optimal contracts may involve defaults, even in states in which the borrower is fully able to repay. We then examine the welfare costs of arbitrarily restricting the set of feasible contracts to standard debt contracts. When model parameters are calibrated to realistic values, the welfare loss from exogenously imposing this restriction is extremely small. Thus, if the implementation costs are actually nontrivial (as seems likely), standard debt contracts will be (very close to) optimal.
Mot-clé: CESV, CSV, Debt, Contracts, Standard debt contract, Costly ex-post state verification, Bankruptcy, Optimal contract, Ex ante contract, Financial contract, Loans, and Costly state verification Assujettir: D86 - Information, knowledge, and uncertainty - Economics of contract : Theory and G10 - General financial markets - General
Creator: Hansen, Gary D. (Gary Duane) and Prescott, Edward C. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 507 La description:
Presented at the ASSA meetings in Anaheim, CA.
Mot-clé: 1990, Productivity, Recession, 1991, Technological shocks, Labor, Technology shock, and Knowledge Assujettir: O33 - Technological change ; Research and development - Technological change : Choices and consequences ; Diffusion processes and G14 - General financial markets - Information and market efficiency ; Event studies
Creator: Atkeson, Andrew. and Kehoe, Patrick J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 513 Abstract:
In this paper, we build a model of the transition following large-scale economic reforms that predicts both a substantial drop in output and a prolonged pause in physical investment as the initial phase of the optimal transition following the reform. We model reform as a change in policy which induces agents to close existing enterprises using old technologies of production and to open up new enterprises adopting new technologies of production. The central idea of our paper is that it is costly to close old enterprises and open new enterprises because, in doing so, information capital built up about old enterprises is lost and time must pass before information capital about new enterprises can be acquired. Thus, an acceleration of the pace of industry evolution leads in the short run to a net loss of information capital, a drop in productivity, a recession, and a fall in physical investment. We calibrate our model of industry evolution, information capital, and transition to match micro data on industry evolution in the United States and macro data from the United States, Japan, and the former communist countries of Europe. We find that the loss of information capital that accompanies a major acceleration in the pace of industry evolution in an economy leads initially to a decade of recession and a five year pause in physical investment before the benefits of reform are realized.
Mot-clé: Economic reform, Technological evolution, Policy change, Transition, Recession, Technology change, Information capital, and Industrial evolution Assujettir: O33 - Technological change ; Research and development - Technological change : Choices and consequences ; Diffusion processes and O25 - Development planning and policy - Industrial policy
Creator: Cooley, Thomas F., Hansen, Gary D. (Gary Duane), and Prescott, Edward C. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 535 Mot-clé: Equilibrium and Business cycle Assujettir: E13 - General aggregative models - Neoclassical and E32 - Prices, business fluctuations, and cycles - Business fluctuations ; Cycles