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Conference Paper
Monetary and financial interaction in the business cycle
Fuerst, Timothy S. (1994)
Proceedings

Working Paper
Targets, instruments, and monetary policy in an open economy: a GARCH application
Gochoco, Maria (1991)
Pacific Basin Working Paper Series , Paper 92-04

Working Paper
Estimation of Markov regime-switching regression models with endogenous switching
Kim, Chang-Jin; Startz, Richard; Piger, Jeremy M. (2004)
Following Hamilton (1989), estimation of Markov regime-switching regressions nearly always relies on the assumption that the latent state variable controlling the regime change is exogenous. We incorporate endogenous switching into a Markov-switching regression and develop strategies for identification and estimation. Identification requires instruments, which can be found in observed exogenous variables that influence the transition probabilities of the regime-switching process, as in the so-called time-varying transition probability case. However, even with fixed transition probabilities, ...
Working Papers , Paper 2003-015

Conference Paper
Some recent developments in labor economics and their implications for macroeconomics
Katz, Lawrence F. (1988)
Proceedings

Working Paper
Effects of using dependent and independent differences in tests of random walk models against regression models
Swamy, P. A. V. B.; Mehta, J. S.; Chandrakantha, M. W. Leslie (1990)
Finance and Economics Discussion Series , Paper 129

Journal Article
Optimal monetary policy under uncertainty: a Markov jump-linear-quadratic approach
Williams, Noah; Svensson, Lars E. O. (2008-07)
This paper studies the design of optimal monetary policy under uncertainty using a Markov jump-linear-quadratic (MJLQ) approach. To approximate the uncertainty that policymakers face, the authors use different discrete modes in a Markov chain and take mode-dependent linear-quadratic approximations of the underlying model. This allows the authors to apply a powerful methodology with convenient solution algorithms that they have developed. They apply their methods to analyze the effects of uncertainty and potential gains from experimentation for two sources of uncertainty in the New Keynesian ...
Review , Volume 90 , Issue Jul , Pages 275-294

Discussion Paper
Modeling trends
Sims, Christopher A. (1989)
Models of low-frequency behavior of time series may have strongly conflicting substantive implications while fitting the data nearly equally well. We should develop methods which display the resulting uncertainty rather than adopt modeling conventions which hide it. One step toward this goal may be to consider overparameterized stationary ARMA models.
Discussion Paper / Institute for Empirical Macroeconomics , Paper 22

Conference Paper
Econometric modeling in Malaysia
Lin, See-Yan (1975)
Proceedings , Issue 1 , Pages 271-293

Working Paper
A discrete model of discriminatory price auctions - an alternative to Menezes-Monteiro
Haller, Hans; Lengwiler, Yvan (1998)
Menezes and Monteiro, Math. Soc. Sci. (1995), show that a multi-unit discriminatory price auction does not have a pure strategy equilibrium unless one imposes some rather special conditions on the demand functions. This non-existence result might indicate a problem either with the underlying auction procedure (as Menezes and Monteiro suggest) or with the modelling approach (as we suggest). We observe that the non-existence problem disappears if bids must come in multiples of smallest units --- a realistic feature. Moreover, we show that most of the analysis can be recast in a discrete action ...
Finance and Economics Discussion Series , Paper 1998-08

Working Paper
Testing the null of identification in GMM
Wright, Jonathan H. (2002)
This paper proposes a new test of the null hypothesis that a generalized method of moments model is identified. The test can detect local or global underidentification, and underidentification in some or all directions. The idea of the test is to compare the volume of two confidence sets - one that is robust to lack of identification and one that is not. Under the null hypothesis the relative volume of these two sets is Op(1), but under the alternative, the robust confidence set has infinite relative volume.
International Finance Discussion Papers , Paper 732

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