Creator: Geweke, John Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 555
Creator: Rolnick, Arthur J., 1944-, Velde, François R., and Weber, Warren E. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 536 Abstract:
This paper establishes the stylized fact that medieval debasements were accompanied by unusually large minting volumes and revenues. This fact is a puzzle under the commonly held view that metallic coins are commodity money and exchange by weight. An existing explanation is that debased coins were used to reduce the real burden of nominally denominated debts. This explanation is logically flawed: nothing prevents agents from renegotiating contracts and avoid incurring minting costs. The paper also establishes other facts about monetary mutations, which altogether pose a challenge to monetary economics.
Creator: Christiano, Lawrence J. and Den Haan, Wouter J., 1962- Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 199 Abstract:
We investigate, by Monte Carlo methods, the finite sample properties of GMM procedures for conducting inference about statistics that are of interest in the business cycle literature. These statistics include the second moments of data filtered using the first difference and Hodrick-Prescott filters, and they include statistics for evaluating model fit. Our results indicate that, for the procedures considered, the existing asymptotic theory is not a good guide in a sample the size of quarterly postwar U.S. data.
关键词: Covariance matrix estimation, Spectral density, Monte Carlo simulation, Finite-sample analysis, Prewhitening, and Hypothesis testing
Creator: Anderson, Evan W. , Hansen, Lars Peter, McGrattan, Ellen R., and Sargent, Thomas J. Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 198 Abstract:
This paper catalogues formulas that are useful for estimating dynamic linear economic models. We describe algorithms for computing equilibria of an economic model and for recursively computing a Gaussian likelihood function and its gradient with respect to parameters. We apply these methods to several example economies.
Creator: Geweke, John and Petrella, Lea Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 553 Abstract:
This paper provides a general and efficient method for computing density ratio class bounds on posterior moments, given the output of a posterior simulator. It shows how density ratio class bounds for posterior odds ratios may be formed in many situations, also on the basis of posterior simulator output. The computational method is used to provide density ratio class bounds in two econometric models. It is found that the exact bounds are approximated poorly by their asymptotic approximation, when the posterior distribution of the function of interest is skewed. It is also found that posterior odds ratios display substantial variation within the density ratio class, in ways that cannot be anticipated by the asymptotic approximation.
关键词: Bayesian inference, Markov-chain Monte Carlo, Normal mixture, and Probit model 学科: C11 - Bayesian Analysis: General and C63 - Computational Techniques; Simulation Modeling
Creator: Aiyagari, S. Rao Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 196 Abstract:
I argue that Farmer and Guo's one-sector real business cycle model with indeterminacy and sunspots fails empirically and that its failure is inherent in the logic of the model taken together with some simple labor market facts.
关键词: Labor Market, Indeterminacy, Business cycles, and Sunspots 学科: 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
Creator: Aiyagari, S. Rao and Peled, Dan Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 197 Abstract:
It is often argued that with a positively skewed income distribution (median less than mean) majority voting would result in higher tax rates than maximizing average welfare and, hence, lower aggregate savings. We reexamine this view in a capital accumulation model, in which distorting redistributive taxes provide insurance against idiosyncratic shocks and income distributions evolve endogenously. We find small differences of either sign between the tax rates set by a majority voting and a utilitarian government, for reasonable parametric specifications, despite the fact that model simulations produce positively skewed distributions of total income across agents.
关键词: Proportional taxes, Utilitarian government, and Sequential majority voting 学科: E62 - Fiscal Policy, C68 - Computable General Equilibrium Models, and H23 - Taxation and Subsidies: Externalities; Redistributive Effects; Environmental Taxes and Subsidies
Creator: Echevarria, Cristina and Merlo, Antonio Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 195 Abstract:
We interpret observed gender differences in education as the equilibrium outcome of a two-sex overlapping generations model where men and women of each generation bargain over consumption, number of children, and investment in education of their children conditional on gender. This model represents a new framework for the analysis of the process of intrahousehold decision making in an intergenerational setting.
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.
关键词: Bias correction, Simulation, Economic models, Edgeworth correction, Indirect inference, Bootstrap, and Econometrics 学科: C15 - Econometric and statistical methods : General - Simulation methods, C22 - Single equation models ; Single variables - Time-series models ; Dynamic quantile regressions, C32 - Multiple or simultaneous equation models - Time-series models ; Dynamic quantile regressions, and C13 - Econometric and statistical methods : General - Estimation
Creator: Geweke, John Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 552 Abstract:
The normal linear model, with sign or other linear inequality constraints on its coefficients, arises very commonly in many scientific applications. Given inequality constraints Bayesian inference is much simpler than classical inference, but standard Bayesian computational methods become impractical when the posterior probability of the inequality constraints (under a diffuse prior) is small. This paper shows how the Gibbs sampling algorithm can provide an alternative, attractive approach to inference subject to linear inequality constraints in this situation, and how the GHK probability simulator may be used to assess the posterior probability of the constraints.