Information-Theoretic Estimation of Preference Parameters: Macroeconomic Applications and Simulation Evidence

This paper investigates the behaviour of estimators based on the Kullback-Leibler information criterion (KLIC), as an alternative to the generalized method of moments (GMM). We first study the estimators in a Monte Carlo simulation model of consumption growth with power utility. Then we compare KLIC and GMM estimators in macroeconomic applications, in which preference parameters are estimated with aggregate data. KLIC probability measures serve as useful diagnostics. In dependent data, tests of overidentifying restrictions in the KLIC framework have size properties comparable to those of the J-test in iterated GMM, but superior size-adjusted power.KLIC estimation, generalized method of moments, Monte Carlo

From Proof Nets to the Free *-Autonomous Category

In the first part of this paper we present a theory of proof nets for fullmultiplicative linear logic, including the two units. It naturally extends thewell-known theory of unit-free multiplicative proof nets. A linking is nolonger a set of axiom links but a tree in which the axiom links are subtrees.These trees will be identified according to an equivalence relation based on asimple form of graph rewriting. We show the standard results ofsequentialization and strong normalization of cut elimination. In the secondpart of the paper we show that the identifications enforced on proofs are suchthat the class of two-conclusion proof nets defines the free *-autonomouscategory.Comment: LaTeX, 44 pages, final version for LMCS; v2: updated bibliograph

From Proof Nets to the Free *-Autonomous Category

In the first part of this paper we present a theory of proof nets for full multiplicative linear logic, including the two units. It naturally extends the well-known theory of unit-free multiplicative proof nets. A linking is no longer a set of axiom links but a tree in which the axiom links are subtrees. These trees will be identified according to an equivalence relation based on a simple form of graph rewriting. We show the standard results of sequentialization and strong normalization of cut elimination. In the second part of the paper we show that the identifications enforced on proofs are such that the class of two-conclusion proof nets defines the free *-autonomous category

Policy-Induced Mean Reversion in the Real Interest Rate?

This paper utilizes tests for a unit root that have power against nonlinear alternatives to provide empirical evidence on the time series properties of the ex-post real interest rate in the G7 countries. We find that the unit-root hypothesis can be rejected in the presence of a nonlinear alternative motivated by theoretical literature on optimal monetary policy rules. This represents a reversal of the results obtained using standard linear unit-root and cointegration tests. Tests for linearity reject this hypothesis for Canada, France, Germany, Italy, and the US. For these countries we estimate nonlinear models to capture the dynamics of the ex-post real interest rate.Fisher Effect; Unit Roots; Self-Exciting Threshold Autoregression

Structural change tests based on implied probabilities for GEL criteria

This paper proposes Pearson-type statistics based on implied probabilities to detect structural change. The class of generalized empirical likelihood estimators (see Smith (1997)) assigns a set of implied probabilities to each observation such that moment conditions are satisfied. The proposed test statistics for structural change are based on the information content in these implied probabilities. We consider cases of structural change with unknown breakpoint which can occur in the parameters of interest or in the overidentifying restrictions used to estimate these parameters. We also propose a structural change test based on implied probabilities that is robust to weak identification or cases in which parameters are completely unidentified. The test statistics considered here have competitive size and power properties. Moreover, they are computed in a single step which eliminates the need to compute the weighting matrix required for GMM estimation.Generalized empirical likelihood, generalized method of moments, parameter instability, structural change

Policy-Induced Mean Reversion in the Real Interest Rate?

This paper utilizes tests for a unit root that have power against nonlinear alternatives to provide empirical evidence on the time series properties of the ex-post real interest rate in the G7 countries. We find that the unit root hypothesis can be rejected in the presence of a nonlinear alternative motivated by theoretical literature on optimal monetary policy rules. This represents a reversal of the results obtained using standard linear unit root and cointegration tests. Tests for linearity reject this hypothesis for Canada, France, Italy and Japan for which we estimate nonlinear models capturing the dynamics of the interest rate.Fisher Effect; Unit Roots; Self-Exciting Threshold Autoregression

Evidence of nonlinear mean reversion in the real interest rate

This article utilizes tests for a unit root that have power against nonlinear alternatives to provide empirical evidence on the time series properties of the ex-post real interest rate in the G7 countries. We find that the unit root hypothesis can be rejected in the presence of a nonlinear alternative motivated by theoretical literature on optimal monetary policy rules. This represents a reversal of the results obtained using standard linear unit-root and cointegration tests. Tests for linearity reject this hypothesis for Canada, France, Italy and Japan for which we estimate nonlinear models capturing the dynamics of the interest rate. For these countries, ex-post real interest rates follow a nonlinear model characterized by mean reversion and provide statistical evidence for the Fisher effect.