<p>This dissertation asks whether frequency misspecification of a New Keynesian model</p><p>results in temporal aggregation bias of the Calvo parameter. First, when a</p><p>New Keynesian model is estimated at a quarterly frequency while the true</p><p>data generating process is the same but at a monthly frequency, the Calvo</p><p>parameter is upward biased and hence implies longer average price duration.</p><p>This suggests estimating a New Keynesian model at a monthly frequency may</p><p>yield different results. However, due to mixed frequency datasets in macro</p><p>time series recorded at quarterly and monthly intervals, an estimation</p><p>methodology is not straightforward. To accommodate mixed frequency datasets,</p><p>this paper prop...
This paper uses the Bayesian approach to solve and estimate a New Keynesian model augmented by a gen...
Thesis (Ph.D.)--University of Washington, 2018This dissertation explores important macroeconomics is...
This paper estimates a high-frequency New Keynesian Phillips curve via the Generalized Method of Mom...
Frequency mismatch has been a problem in econometrics for quite some time. Many monthly economic and...
We describe Bayesian models for economic and financial time series that use regressors sampled at hi...
This thesis develops a unified framework for forecasting with macroeconomic time series measured ove...
Defence date: 7 September 2012; Examining Board: Professor Massimiliano Marcellino, EUI, Supervisor;...
The baseline New Keynesian model cannot replicate the observed persistence in inflation, output, and...
Although many macroeconomic series such as US real output growth are sampled quarterly, many potenti...
Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. ...
The Calvo pricing model that lies at the heart of many New Keynesian business cycle models has been ...
This dissertation investigate the forecasting performance of mixed frequency factor models with mix...
This dissertation examines the theory and practice of macroeconometric forecasting. The main purpose...
This dissertation consists of three essays on Bayesian estimation of dynamic macroeconomic models. T...
In this paper we show analytically, with simulation experiments and with actual data that a mismatch...
This paper uses the Bayesian approach to solve and estimate a New Keynesian model augmented by a gen...
Thesis (Ph.D.)--University of Washington, 2018This dissertation explores important macroeconomics is...
This paper estimates a high-frequency New Keynesian Phillips curve via the Generalized Method of Mom...
Frequency mismatch has been a problem in econometrics for quite some time. Many monthly economic and...
We describe Bayesian models for economic and financial time series that use regressors sampled at hi...
This thesis develops a unified framework for forecasting with macroeconomic time series measured ove...
Defence date: 7 September 2012; Examining Board: Professor Massimiliano Marcellino, EUI, Supervisor;...
The baseline New Keynesian model cannot replicate the observed persistence in inflation, output, and...
Although many macroeconomic series such as US real output growth are sampled quarterly, many potenti...
Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. ...
The Calvo pricing model that lies at the heart of many New Keynesian business cycle models has been ...
This dissertation investigate the forecasting performance of mixed frequency factor models with mix...
This dissertation examines the theory and practice of macroeconometric forecasting. The main purpose...
This dissertation consists of three essays on Bayesian estimation of dynamic macroeconomic models. T...
In this paper we show analytically, with simulation experiments and with actual data that a mismatch...
This paper uses the Bayesian approach to solve and estimate a New Keynesian model augmented by a gen...
Thesis (Ph.D.)--University of Washington, 2018This dissertation explores important macroeconomics is...
This paper estimates a high-frequency New Keynesian Phillips curve via the Generalized Method of Mom...