Three Essays on Simulation-based Estimation of Multivariate Models with Unobserved Heterogeneity PDF Download

Author: Murat Khairzhanuly Munkin
Publisher:
ISBN:
Category :
Languages : en
Pages : 374

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Author: Ben Waltmann
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Author: Jean-Jacques Mitchell Forneron
Publisher:
ISBN:
Category :
Languages : en
Pages :

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To ensure that it does not accumulate too much, a set decay conditions on the data generating process are given and the resulting bias is derived. Second, by construction, the dependence properties of the simulated data vary with the parameter values so that standard empirical process results, which rely on a coupling argument, do not apply in this setting. This non-standard dependent empirical process is handled through an inequality built by adapting results from the existing literature. The results hold for bounded empirical processes under a geometric ergodicity condition. This is illustrated in the paper with Monte-Carlo simulations and two empirical applications.

Author: Dongya Koh
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 213

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This dissertation consists of two chapters, both of which approach macroeconomic issues using simulation-based methods. Aside from the fact that each chapter contributes to its narrowly scoped field, the two chapters demonstrate an implementation of simulation-based estimation techniques and identification strategies to examine dynamic properties of unobserved economic shocks. The main objective of two chapters is to understand the properties of shock process, which in turn provides better macroeconomic implications. The first chapter structurally estimates idiosyncratic labor income risks over the life-cycle to obtain implications for a redistribution policy, namely tax and transfer systems. Since a redistribution policy provides a partial insurance to those exposed to income risks, understanding the underlying life-time labor income risks that households face is central to designing better institutional arrangements. The chapter constructs a human capital life-cycle model and structurally estimates the underlying source of labor income risks across age. We find that the estimated shock process is significantly age-dependent even after controlling for the endogenous responses to the exogenous shocks. In particular, young workers encounter a highly persistent (almost unit-root) but relatively small volatility of permanent shocks, while older workers encounter a less persistent but higher volatility of permanent shocks. In addition, we demonstrate that under the age-dependent shock process the self-insurance ability of young workers is 20% lower than that of middle-aged workers. Finally, we find that more benefits, either through a tax exemption or subsidies, to young workers drastically improve aggregate production, welfare, and income inequality. In the second chapter, we structurally estimate the dynamic properties of elasticity of substitution between capital and labor to resolve well-known puzzles in labor market dynamics: Dunlop-Tarshis phenomenon, the labor productivity puzzle, the labor share puzzle including its oveshooting response to productivity shocks, and the hours-productivity puzzle. We propose an aggregate production function that potentially takes a different shape in the short run (SR) from the long run (LR). Specifically, we allow for cyclical fluctuations of the short-run elasticity of substitution between capital and labor, [sigma][subscript t], while keeping the Cobb-Douglas shape in the long run. We find that productivity shocks are on average biased toward labor (i.e. [sigma][subscript t]

Author: Alexander Chudik
Publisher: Emerald Group Publishing
ISBN: 180262063X
Category : Business & Economics
Languages : en
Pages : 316

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The collection of chapters in Volume 43 Part A of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.

Author: Badi H. Baltagi
Publisher: Emerald Group Publishing
ISBN: 1781903077
Category : Business & Economics
Languages : en
Pages : 576

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Aims to annually publish original scholarly econometrics papers on designated topics with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics throughout the empirical economic, business and social science literature.

Author: Yan Wang
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Marta Isabel López Yurda
Publisher: Rozenberg Publishers
ISBN: 9036101220
Category :
Languages : en
Pages : 171

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Author: Christopher F. Parmeter
Publisher: Emerald Group Publishing
ISBN: 1837978735
Category : Business & Economics
Languages : en
Pages : 487

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It is the editor’s distinct privilege to gather this collection of papers that honors Subhal Kumbhakar’s many accomplishments, drawing further attention to the various areas of scholarship that he has touched.

Author: Christian Gouriéroux
Publisher: OUP Oxford
ISBN: 019152509X
Category : Business & Economics
Languages : en
Pages : 190

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This book introduces a new generation of statistical econometrics. After linear models leading to analytical expressions for estimators, and non-linear models using numerical optimization algorithms, the availability of high- speed computing has enabled econometricians to consider econometric models without simple analytical expressions. The previous difficulties presented by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach. After a brief survey of classical parametric and semi-parametric non-linear estimation methods and a description of problems in which criterion functions contain integrals, the authors present a general form of the model where it is possible to simulate the observations. They then move to calibration problems and the simulated analogue of the method of moments, before considering simulated versions of maximum likelihood, pseudo-maximum likelihood, or non-linear least squares. The general principle of indirect inference is presented and is then applied to limited dependent variable models and to financial series.