Search Results

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Working Paper
Alternative definitions of the business cycle and their implications for business cycle models: a reply to Torben Mark Pederson
Cogley, Timothy (1998)
Working Papers in Applied Economic Theory , Paper 98-08

Working Paper
Modelling the time series behavior of the aggregate wage rate
Huh, Chan Guk; Trehan, Bharat (1992)
Working Papers in Applied Economic Theory , Paper 92-04

Working Paper
Evidence on structural instability in macroeconomic times series relations
Stock, James H.; Watson, Mark W. (1994)
Working Paper Series, Macroeconomic Issues , Paper 94-13

Report
Inflation dynamics in a small open-economy model under inflation targeting: some evidence from Chile
Del Negro, Marco; Schorfheide, Frank (2008)
This paper estimates a small open-economy dynamic stochastic general equilibrium (DSGE) model, specified along the lines of Gal and Monacelli (2005) and Lubik and Schorfheide (2007), using Chilean data for the full inflation-targeting period of 1999 to 2007. We study the specification of the policy rule followed by the Central Bank of Chile, the dynamic response of inflation to domestic and external shocks, and the change in these dynamics under different policy parameters. We use the DSGE-VAR methodology from our earlier work (2007) to assess the robustness of the conclusion to the presence ...
Staff Reports , Paper 329

Working Paper
Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research
Cogley, Timothy; Nason, James M. (1993)
This paper studies the effects of applying the Hodrick-Prescott filter to trend and difference stationary time series. Applying the Hodrick-Prescott filter to an integrated process is similar to detrending a random walk. When the data are difference stationary, the Hodrick-Prescott filter can generate business cycle dynamics even if none are present in the original data. We study the implications for interpreting stylized facts about business cycles and for analyzing data generated by real business cycle models.
Working Papers in Applied Economic Theory , Paper 93-01

Working Paper
Nonparametric density estimation and tests of continuous time interest rate models
Pritsker, Matthew (1997)
Nonparametric kernel density estimation has recently been used to estimate and test short-term interest rate models, but inference has been based on asymptotics. We derive finite sample properties of kernel density estimates of the ergodic distribution of the short-rate when it follows a continuous time AR(1) as in Vasicek. We find that the asymptotic distribution substantially understates finite sample bias, variance, and correlation. Also, estimator quality and bandwidth choice depend strongly on the persistence of the interest rate process and on the span of the data, but not on sampling ...
Finance and Economics Discussion Series , Paper 1997-26

Conference Paper
Effects of the Hodrick-Prescott filter on integrated time series
Nason, James M.; Cogley, Timothy (1991-11)
Proceedings , Issue Nov

Journal Article
Modeling trends in macroeconomic time series
Balke, Nathan S. (1991-05)
How predictable are real GNP, prices, and other macroeconomic data over long time horizons? The answer depends on the nature of their trends. In this article, Nathan S. Balke describes alternative models of trend for economic data, discusses the implications of these models for forecasting and business-cycle analysis, and reviews some of the existing evidence for and against various models of trend. ; In addition, Balke conducts a case study of real GNP and the price level. He finds that a simple linear time trend may adequately reflect the long- run behavior of real GNP. The price level, on ...
Economic and Financial Policy Review , Issue May , Pages 19-33

Journal Article
Unit roots in macroeconomic time series: some critical issues
McCallum, Bennett T. (1993-04)
Economic Quarterly , Issue Spr , Pages 13-44

Working Paper
On the finite-sample accuracy of nonparametric resampling algorithms for economic time series
Berkowitz, Jeremy; Birgean, Ionel; Kilian, Lutz (1999)
In recent years, there has been increasing interest in nonparametric bootstrap inference for economic time series. Nonparametric resampling techniques help protect against overly optimistic inference in time series models of unknown structure. They are particularly useful for evaluating the fit of dynamic economic models in terms of their spectra, impulse responses, and related statistics, because they do not require a correctly specified economic model. Notwithstanding the potential advantages of nonparametric bootstrap methods, their reliability in small samples is questionable. In this ...
Finance and Economics Discussion Series , Paper 1999-04

show more (2)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords