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Identification of a linear system from inexact data: a three variable example
Los, Cornelis A. (1987)
Research Paper , Paper 8703

Discussion Paper
Solving nonlinear stochastic optimization and equilibrium problems backwards
Sims, Christopher A. (1989)
In a stochastic equilibrium model some stochastic processes are usually exogenously given, while others are either chosen optimally by agents or emerge from market equilibrium conditions. When we simulate such a model, often we aim at studying the relations among variables in the model as we vary parameters of policy and of behavior of economic agents. We are no more certain (indeed often less certain) of what is reasonable or interesting behavior for the exogenous variables (some of which may be unobservable) than of the variables chosen by agents or fixed in markets. It turns out that if we ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 15

Working Paper
Cointegration tests in the presence of structural breaks
Campos, Julia; Ericsson, Neil R.; Hendry, David F. (1993)
Structural breaks in stationary time series can induce apparent unit roots in those series. Thus, using recently developed recursive Monte Carlo techniques, this paper investigates the properties of several cointegration tests when the marginal process of one of the variables in the cointegrating relationship is stationary with a structural break. The break has little effect on the tests' size. However, tests based on estimated error correction models generally are more powerful than Engle and Granger's two-step procedure employing the Dickey-Fuller unit root test. Discrepancies in power ...
International Finance Discussion Papers , Paper 440

Working Paper
The risk-free U.S. bond rate : errors in construction and use in econometric work
Hendershott, Patric H.; Cook, Timothy Q. (1977)
Observed differentials among yield series for different types of long-term instruments--U.S. government bonds, municipal bonds, corporate bonds and residential mortgages--vary considerably over time.
Working Paper , Paper 77-03

Working Paper
A retrospective on J. Denis Sargan and his contributions to econometrics
Ericsson, Neil R.; Mizon, Grayham E.; Maasoumi, Esfandiar (2001)
This retrospective provides a biographical history of Denis Sargan's career and reviews his contributions to econometrics, emphasizing the breadth of his work in both theoretical and applied econometrics. We include a complete bibliography for Denis and a list of PhD theses that he supervised--students were a substantive facet of his professional life. Finally, two of Denis's previously unpublished manuscripts on model building now appear in print.
International Finance Discussion Papers , Paper 700

Journal Article
Central bank dollar swap lines and overseas dollar funding costs
Miu, Jason; Kennedy, Craig; Goldberg, Linda S. (2011-05)
In the decade prior to the financial crisis, foreign banks? exposure to U.S.-dollar-denominated assets rose dramatically. When the crisis hit in 2007, the banks? access to dollar funding came under severe duress, with potentially dire consequences for global financial markets that could also spread to U.S. markets. The Federal Reserve responded in December 2007 by establishing temporary reciprocal currency swap lines, or facilities, with foreign central banks designed to ameliorate dollar funding stresses overseas. Drawing on rigorous analysis of the swaps, as well as insights of other ...
Economic Policy Review , Volume 17 , Issue May , Pages 3-20

Working Paper
Using genetic algorithms to model the evolution of heterogeneous beliefs
Bullard, James B.; Duffy, John (1994)
Genetic algorithms have been used by economists to model the process by which a population of heterogeneous agents learn how to optimize a given objective. However, most general equilibrium models in use today presume that agents already know how to optimize. If agents face any uncertainty, it is typically with regard to their expectations about the future. In this paper, we show how a genetic algorithm can be used to model the process by which a population of agents with heterogeneous beliefs learns how to form rational expectation forecasts. We retain the assumption that agents optimally ...
Working Papers , Paper 1994-028

Working Paper
Judging instrument relevance in instrumental variables estimation
Wilcox, David W.; Rudebusch, Glenn D.; Hall, Alastair R. (1994)
Finance and Economics Discussion Series , Paper 94-3

‘Great Ratios’ in Economics Don’t All Add Up
Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. (2021-10-19)
'Great ratios' are widely adopted in theoretical models in economics as conditions for balanced growth, arbitrage or solvency. However, the empirical literature has tended to find little evidence for them.
Dallas Fed Economics

Report
Monte Carlo simulation and numerical integration
Geweke, John (1995)
This is a survey of simulation methods in economics, with a specific focus on integration problems. It describes acceptance methods, importance sampling procedures, and Markov chain Monte Carlo methods for simulation from univariate and multivariate distributions and their application to the approximation of integrals. The exposition gives emphasis to combinations of different approaches and assessment of the accuracy of numerical approximations to integrals and expectations. The survey illustrates these procedures with applications to simulation and integration problems in economics.
Staff Report , Paper 192

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