130,650 research outputs found
Beyond the DSGE Straitjacket
Academic macroeconomics and the research department of central banks have come to be dominated by Dynamic, Stochastic, General Equilibrium (DSGE) models based on micro-foundations of optimising representative agents with rational expectations. We argue that the dominance of this particular sort of DSGE and the resistance of some in the profession to alternatives has become a straitjacket that restricts empirical and theoretical experimentation and inhibits innovation and that the profession should embrace a more flexible approach to macroeconometric modelling. We describe one possible approach
On errors-in-variables estimation with unknown noise variance ratio
We propose an estimation method for an errors-in-variables model with unknown input and output noise variances. The main assumption that allows identifiability of the model is clustering of the data into two clusters that are distinct in a certain specified sense. We show an application of the proposed method for system identification
Kernel-based system identification from noisy and incomplete input-output data
In this contribution, we propose a kernel-based method for the identification
of linear systems from noisy and incomplete input-output datasets. We model the
impulse response of the system as a Gaussian process whose covariance matrix is
given by the recently introduced stable spline kernel. We adopt an empirical
Bayes approach to estimate the posterior distribution of the impulse response
given the data. The noiseless and missing data samples, together with the
kernel hyperparameters, are estimated maximizing the joint marginal likelihood
of the input and output measurements. To compute the marginal-likelihood
maximizer, we build a solution scheme based on the Expectation-Maximization
method. Simulations on a benchmark dataset show the effectiveness of the
method.Comment: 16 pages, submitted to IEEE Conference on Decision and Control 201
Inequality and violent crime: evidence from data on robbery and violent theft
This article argues that the link between income inequality and violent property crime might be spurious, complementing a similar argument in prior analysis by the author on the determinants of homicide. In contrast, Fajnzylber, Lederman & Loayza (1998; 2002a, b) provide seemingly strong and robust evidence that inequality causes a higher rate of both homicide and robbery/violent theft even after controlling for country-specific fixed effects. Our results suggest that inequality is not a statistically significant determinant, unless either country-specific effects are not controlled for or the sample is artificially restricted to a small number of countries. The reason why the link between inequality and violent property crime might be spurious is that income inequality is likely to be strongly correlated with country-specific fixed effects such as cultural differences. A high degree of inequality might be socially undesirable for any number of reasons, but that it causes violent crime is far from proven
A Manifesto for the Equifinality Thesis.
This essay discusses some of the issues involved in the identification and predictions of hydrological models given some calibration data. The reasons for the incompleteness of traditional calibration methods are discussed. The argument is made that the potential for multiple acceptable models as representations of hydrological and other environmental systems (the equifinality thesis) should be given more serious consideration than hitherto. It proposes some techniques for an extended GLUE methodology to make it more rigorous and outlines some of the research issues still to be resolved
Beyond the DSGE Straitjacket
Academic macroeconomics and the research department of central banks have come to be dominated by Dynamic, Stochastic, General Equilibrium (DSGE) models based on micro-foundations of optimising representative agents with rational expectations. We argue that the dominance of this particular sort of DSGE and the resistance of some in the profession to alternatives has become a straitjacket that restricts empirical and theoretical experimentation and inhibits innovation and that the profession should embrace a more flexible approach to macroeconometric modelling. We describe one possible approach.macroeconometric models, DSGE, VARs, long run theory
Beyond the DSGE Straitjacket
Academic macroeconomics and the research department of central banks have come to be dominated by Dynamic, Stochastic, General Equilibrium (DSGE) models based on micro-foundations of optimising representative agents with rational expectations. We argue that the dominance of this particular sort of DSGE and the resistance of some in the profession to alternatives has become a straitjacket that restricts empirical and theoretical experimentation and inhibits innovation and that the profession should embrace a more flexible approach to macroeconometric modelling. We describe one possible approach.macroeconometric models, DSGE, VARs, long run theory
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