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Keywords:Econometric models 

Working Paper
A tractable estimator for general mixed multinomial logit models

The mixed logit is a framework for incorporating unobserved heterogeneity in discrete choice models in a general way. These models are difficult to estimate because they result in a complicated incomplete data likelihood. This paper proposes a new approach for estimating mixed logit models. The estimator is easily implemented as iteratively re-weighted least squares: the well known solution for complete data likelihood logits. The main benefit of this approach is that it requires drastically fewer evaluations of the simulated likelihood function, making it significantly faster than ...
Working Papers (Old Series) , Paper 1219

Conference Paper
Liquidity and fire sales - discussion


Working Paper
Risk-adjusted, ex ante, optimal technical trading rules in equity markets

Allen and Karjalainen (1999) used genetic programming to develop optimal ex ante trading rules for the S&P 500 index. They found no evidence that the returns to these rules were higher than buy-and-hold returns but some evidence that the rules had predictive ability. This comment investigates the risk-adjusted usefulness of such rules and more fully characterizes their predictive content. These results extend Allen and Karjalainen's (1999) conclusion by showing that although the rules' relative performance improves, there is no evidence that the rules significantly outperform the buy-and-hold ...
Working Papers , Paper 1999-015

Working Paper
\"Peso problem\" explanations for term structure anomalies

We examine the empirical evidence on the expectation hypothesis of the term structure of interest rates in the United States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector-autoregressive methodology. We argue that anomalies in the U.S. term structure, documented by Campbell and Shiller (1991), may be due to a generalized peso problem in which a high-interest rate regime occurred less frequently in the sample of U.S. data than was rationally anticipated. We formalize this idea as a regime-switching model of short-term interest rates estimated with ...
Working Paper Series, Issues in Financial Regulation , Paper WP-97-07

Conference Paper
The move toward free trade zones

Proceedings - Economic Policy Symposium - Jackson Hole

Conference Paper
International payments imbalances of the East Asian developing economies

Conference Series ; [Proceedings] , Volume 32 , Pages 103-156

Working Paper
Growth and inflation: a cross-country study

Working Papers in Applied Economic Theory , Paper 94-08

Conference Paper
How do trade and financial integration affect the relationship between growth and volatility?

The influential work of Ramey and Ramey (1995) highlighted an empirical relationship that has now come to be regarded as conventional wisdom - that output volatility and growth are negatively correlated. We reexamine this relationship in the context of globalization - a term typically used to describe the phenomenon of growing international trade and financial integration that has intensified since the mid-1980s. We employ various econometric techniques and a comprehensive new dataset to analyze the link between growth and volatility. Our findings suggest that, while the basic negative ...
Proceedings , Issue Jun

How to use econometric models to forecast

Staff Report , Paper 12

Conference Paper
Liquidity and fire sales

A ?fire sale? occurs when the owner of a good offers it for sale at a price strictly below the price that some buyers would willingly pay for the good. He does so because the advantage of the quick sale made possible by the lower price outweighs the higher price that other potential buyers would pay, given the likely delay in locating these buyers in the latter case. Fire sales can occur only in illiquid markets. This paper generalizes earlier treatments of illiquid markets by assuming that the asset can be offered for sale at any time, rather than only after its owner loses his capacity to ...



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Williams, John C. 15 items

Rudebusch, Glenn D. 14 items

Throop, Adrian W. 14 items

Zha, Tao 14 items

Orphanides, Athanasios 12 items

Dennis, Richard 11 items

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