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Journal Article
Assessing applied econometric results
Christ, Carl F. (1993-03)
Review , Issue Mar , Pages 71-94

Working Paper
The computational experiment: an econometric tool
Kydland, Finn E.; Prescott, Edward C. (1994)
A specification of the steps in designing a computational experiment to address a well-posed quantitative question, emphasizing that the computational experiment is an econometric tool used in the task of deriving the quantitative implications of theory.
Working Papers (Old Series) , Paper 9420

Working Paper
Computationally convenient distributional assumptions for common value auctions
Gordy, Michael B. (1997)
Although the mathematical foundations of common value auctions have been well understood since Milgrom & Weber (1982), equilibrium bidding strategies are computationally complex. Very few calculated examples can be found in the literature, and only for highly specialized cases. This paper introduces two sets of distributional assumptions that are flexible enough for theoretical and empirical applications and yet permit straightforward calculation of equilibrium bidding strategies.
Finance and Economics Discussion Series , Paper 1997-5

Working Paper
Inferences from parametric and non-parametric covariance matrix estimation procedures
Levin, Andrew T.; Den Haan, Wouter J. (1995)
We propose a parametric spectral estimation procedure for contructing heteroskedasticity and autocorrelation consistent (HAC) covariance matrices. We establish the consistency of this procedure under very general conditions similar to those considered in previous research. We also perform Monte Carlo simulations to evaluate the performance of this procedure in drawing reliable inferences from linear regression estimates. These simulations indicate that the parametric estimator matches, and in some cases greatly exceeds, the performance of the prewhitened kernel estimator proposed by Andrews ...
International Finance Discussion Papers , Paper 504

Report
Using simulation methods for Bayesian econometric models: inference, development, and communication
Geweke, John F. (1998)
This paper surveys the fundamental principles of subjective Bayesian inference in econometrics and the implementation of those principles using posterior simulation methods. The emphasis is on the combination of models and the development of predictive distributions. Moving beyond conditioning on a fixed number of completely specified models, the paper introduces subjective Bayesian tools for formal comparison of these models with as yet incompletely specified models. The paper then shows how posterior simulators can facilitate communication between investigators (for example, ...
Staff Report , Paper 249

Working Paper
Exact maximum likelihood estimation of ARCH models
Diebold, Francis X.; Schuermann, Til (1993)
Working Papers , Paper 93-4

Working Paper
Stochastic bubbles in Markov economies
LeRoy, Stephen F.; Gilles, Christian (1993)
Finance and Economics Discussion Series , Paper 93-23

Discussion Paper
Understanding unit rooters: a helicopter tour
Uhlig, Harald F.; Sims, Christopher A. (1988)
Discussion Paper / Institute for Empirical Macroeconomics , Paper 4

Working Paper
Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures
Diebold, Francis X.; Chen, Celia (1993)
Working Papers , Paper 93-11

Working Paper
Predictive regressions with panel data
Hjalmarsson, Erik (2006)
This paper analyzes panel data inference in predictive regressions with endogenous and nearly persistent regressors. The standard fixed effects estimator is shown to suffer from a second order bias; analytical results, as well as Monte Carlo evidence, show that the bias and resulting size distortions can be severe. New estimators, based on recursive demeaning as well as direct bias correction, are proposed and methods for dealing with cross sectional dependence in the form of common factors are also developed. Overall, the results show that the econometric issues associated with predictive ...
International Finance Discussion Papers , Paper 869

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