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200 views

Forecast of ARMA-GARCH model in R

I managed to forecast a GARCH model yesterday and run a Monte Carlo simulation on R. Nevertheless, I can't do the same with an ARMA-GARCH. I tested 4 different method but without achieving an ARMA-...
3
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0answers
45 views

How do organisations diversify? Determinants of choosing new target industries

A very weird question I agree. I am interested in understanding the motives behind firm behaviours of diversification. Why would some firms choose new target sectors/activities? Is there any ...
3
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0answers
37 views

Any serious macro models for Greece's possible default or eurozone exit?

Since each news outlet says something about Greece these days, I wonder what serious economic research backs decisions made over the last seven years? The IMF papers on austerity, both early ones and ...
3
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0answers
111 views

Appropriate economic/econometric tools to analyze segmented promotion optimization problem

I'm trying to determine which micro-economic/econometrics concepts, models, and/or tools are appropriate for an analysis of promotions. Below I Describe the problem in general terms Give ...
3
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0answers
65 views

Converging Trajectories and Sufficiency for Optimality

(The question is loosely relatet to this thread.) In the paper "Feedback Equilibria for a class of non-linear Differential Games" by Mäler et al. it is stated (p. 14) In fact sufficiency is ...
3
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0answers
207 views

Estimation technique: Independent variable (taxation) unknown

I am trying to estimate $\lambda$ from this equation: $(1+ t_t) = \left(\dfrac{C_t}{Y_t}\right)^{\frac{1-\lambda}{\lambda}}$ After taking logs and approximations, I get: $t_t \approx \left( \frac{1-...
3
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0answers
1k views

How do I convert real gdp into chained-dollar real GDP?

I have quarterly data for real GDP from 1981-2015. I also have quarterly chained-dollar real GDP from 61-2012. I need to have them converted into one series. I've looked up several different formulas ...
3
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0answers
122 views

Proof of Proposition 1.4 from Microfoundations I by Kreps

Regardless of the size of X (set of all possible objects), if a preference relation which is complete and transitive is defined on it, then the corresponding choice function generated by it will ...
3
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0answers
107 views

Difference-in-Difference on State Sales Tax Rates

In an attempt to evaluate a potential U.S. National Sales tax rate, it was suggested on this forum before that I consider a difference-in-difference on state sales tax rates before and after they ...
3
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0answers
60 views

Optimisation of bonds

I'm doing an optimisation problem but don't understand what the terms mean. Suppose someone wants to invest $110,000. They have 4 choices as to what they invest their money into: municipal bond ...
3
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0answers
95 views

Solving this system of ODE

I have the following system of equations $$ \rho V(u, \epsilon^i) = F(u, \epsilon^i) + V_u(u, \epsilon^i)g(u, V(u, \epsilon^i) + \lambda^i \left(V(u, \epsilon^{-i}) - V(u, \epsilon^i)\right)$$ with $...
3
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0answers
126 views

Ultrafilters in Social Choice Theory Literature Request

I am an undergraduate math major who is intrigued about social choice theory. I am in the early stages of planning my senior project and was wondering if anybody had some recommendations of literature ...
3
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0answers
112 views

Equal Payment Series

The question is: A man is planning to retire in 20 years. Money can be deposited at 8%, compounded monthly. It is estimated that the future general inflation rate will be 3% compounded annually. What ...
3
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0answers
186 views

Production in the long run - calculating wage and rental elasticity of demand

I have data for a business firm for two periods. The data include: output (Q), capital (K), labor (L), wage (W) and the rental rate of capital (R). Here they are: ...
3
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0answers
156 views

Optimal commodity taxation - solving for the optimal tax rates?

I need to solve for optimal tax rates for two products. In my model there are N identical households that maximize their utility function subject to a budget ...
3
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0answers
143 views

Kolmogorov-Forward-Equation with Entry and Exit

I'll try to ask this question in the most simplistic environment possible, so lets think about a household that can consume and save. After some cumbersome work, we have solved for the optimal savings ...
3
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0answers
116 views

Wold Decomposition and autocorrelations of AR

Is it possible to retrieve Autocorrelations ( value or any other info) up to a certain lag for an AR(2) stationary model using the Wold decomposition? Example: $$X_t=0.32X_{t-1}+0.51X_{t-2}+ \...
3
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0answers
38 views

Real time data map about the amount of a currency that are held in the world ?

Where can I see in real time data about the amount of a currency that is held in central banks (and maybe other significant places) ? A map would be great. I would like to know if there is an ...
3
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0answers
41 views

Research on the link of QE and increased economic activity

Im looking for good literature of quantitative easing and the effects on economic actitivty. from a modelling perspective Any empirical research? What I am thinking of, is how much of an effect ...
3
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0answers
95 views

Europe not self-sufficient in terms of food requirements and consumption?

An acquaintance once told me that Europe is not self-sufficient in terms of food consumption as it does not have enough farmland and farmers to produce enough for all its people, especially in terms ...
3
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0answers
117 views

Applying the Martingale central limit theorem to the score process of an autoregressive model

This question is a natural continuation of the following question: How do I construct the score process of a Markov model and verify that it is a Martingale? In this problem, we set up as follows: ...
3
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0answers
101 views

Differences between LATE and Heckman Selection

I have heard that a paper by Heckman and Vytlacil demonstrate comparisons between nonparametric Heckman selection (NP Heckit) and the LATE (local average treatment effect) framework. Could someone ...
3
votes
1answer
73 views

Under the gold standard, how did the redemption of gold work in practice?

For example, in the US: In 1834, the United States fixed the price of gold at $20.67 per ounce, where it remained until 1933. (EconLib) Does this mean that anyone with US\$20.67 could walk up to ...
3
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2answers
2k views

Elasticity of Durable Goods vs Non-Durable Goods

Does anyone know any seminal reference (either a paper in a top economics journal or a book) that compares own-price elasticities of demand for durable vs non-durable goods? My intuition tells me ...
3
votes
1answer
2k views

GNI versus GNP for Measuring Development

In the calculation of the Human Development Index, Gross National Income (GNI) is used rather than GNP. I've searched around on the internet, but I haven't found a clear explanation of what the ...
3
votes
1answer
94 views

If the economy is not always on the Price setting curve, can the Central Bank target unemployment?

In the usual textbook model, in which there's imperfect competition, the economy is always on the Price-Setting(PS) curve, and to have a target unemployment level, above equilibrium unemployment, will ...
3
votes
2answers
1k views

How does reverse repo rate affect money supply?

What is the impact of increase/ decrease of reverse repo rate on Monetary Base, Money multiplier and therefore, overall money supply?
3
votes
1answer
98 views

Ordinal axiomatization of proportional division

A proportional division is a kind of fair division in which a resource is divided among $n$ partners with subjective valuations, and each partner receives a share which is worth for him at least $1/n$ ...
3
votes
3answers
596 views

Is the labor force participation rate related more to labour supply or to labour demand? Or both?

I have read several Labor Economics books, but I am stuck. Is the labor force participation rate related more to the labour supply or to the labour demand? If the labor force participation rate ...
3
votes
1answer
113 views

Why are people rich?

Different people become rich for different reasons, such as: Developing/selling a great product Investing Winning the lottery Inheriting family money Some of these seem more fair than others, which ...
2
votes
1answer
68 views

Calculating the amount paid for a loan in today's dollars

So I was trying to figure out the amount paid for a loan in today's dollars using two different methods but they give me different results. I was hoping that someone could explain which method is ...
2
votes
1answer
43 views

Is loss in tax revenue a negative externality?

I was thinking about how online gambling could cause numerous governments to face a reduction in tax revenue from conventional gambling, upon which taxes do apply in most countries. If governments ...
2
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0answers
19 views

Going from DRMs to Indirect Mechanisms

I have recently started studying mechanism design (after having taken a basic graduate micro course) through Borgers' 'Introduction to the theory of mechanism design'. I was wondering if people are ...
2
votes
0answers
40 views

Simulating a simple economy with … price-makers? arriving at competitive equilibrium

I'm new to economics and thinking about graduate study. My background is mathematics. I started reading a book on microeconomics by Mas-Colell, Whinston and Green. My goal is to understand how ...
2
votes
1answer
32 views

The Household Production Function

I was wondering whether someone can explain the household production function. Specifically, the variant presented in Patanayak et al 2005. The paper uses the HPF to determine household willingness to ...
2
votes
1answer
27 views

Data analysis with GARCH modeling

I'm currently analyzing the relationship between stock, bonds, and real estate returns in Germany. I've gathered my data and am planning on estimating this equation: $\sigma_t = \beta_0 + \beta_1 R_{...
2
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0answers
33 views

What do game theorists think of behavioural economics?

Though behavioural economics has been popularized over the past decade in both industry and pop culture, it seems that not much has changed with regard to the standard economic definition of ...
2
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0answers
31 views

How far must one reason up the belief hierarchy?

In games of imperfect information, one must reason about the belief on the state of nature, the beliefs of other player's beliefs of their beliefs, and so on. This is referred to as the belief ...
2
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0answers
39 views

Fixes of quadratic utility when probability of decreasing utility is large

In finance and specifically portfolio theory, a popular utility function is quadratic utility $$ u(x)=x-\frac{\lambda}{2}(x-\mu_x)^2 $$ where $x$ is wealth and $\lambda$ is the parameter of risk ...
2
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0answers
24 views

Net saving as a percentage of net income

In "Is Piketty's Second Law of capital fundamental?" by Per Krusell and Anthony A. Smith Jr the authors say, in a footnote: Specifically, from the FRED database, we use series A023RX1A020NBEA on ...
2
votes
1answer
41 views

Can I treat pooled cross-section as panel data and do regression analysis?

I work with a large survey data that is pooled cross-section, i.e, people interviewed are randomly chosen in each time period. This is not panel data. But, I aggregate the individual cells according ...
2
votes
1answer
50 views

What is the graphic intuition behind Marginal rate of subsitution

So I think I understand the math, but I don't understand the intuition on a 3d graph. Why does the ratio of partial derivatives give us a tangent line on a level curve(indifference curve)? My ...
2
votes
0answers
25 views

What do the excess supply and demand numbers in this chart mean?

From Econ 101, I thought markets are supposed to equilibrate so that there isn't any excess supply or excess demand. But from a WSJ story, we have the chart below. I believe it says, for example, ...
2
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0answers
30 views

How does the Fed choose its asset purchase rate in an ample reserves era?

The St. Louis Fed's article "A New Frontier: Monetary Policy with Ample Reserves" states that the Fed now uses the IOER and ON RRP rates to set the FFR, instead of open market operations, which are no ...
2
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0answers
42 views

If an endogenous explanatory variable is serially correlated does it mean that its lags are also endogenous?

in panel data when examining economic growth determinants lags are often used to account for endogeneity of explanatory variables. However if the explanatory variable is serially correlated, does it ...
2
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0answers
24 views

What is the relationship between economic growth and equality?

Does economic growth create more or less equality?
2
votes
1answer
61 views

The purpose of advertising for Pepsi

What is the purpose of advertising for companies like Pepsi who advertise the same product and every person in the modern world knows about it? Why waste money?
2
votes
1answer
38 views

Bayesian incentive compatibility for a general distribution

Suppose there are $n$ bidders and a seller. Bidder $i$ observes a private signal $v_i$ from $[a,b]$. Let $\mathcal{X} = \times_{i=1}^n[a,b]$ Each bidder is represented by a random variable, that has a ...
2
votes
0answers
28 views

Regression analysis with interaction and decomposed main effect

I'm trying to figure out if I need to include the main effect in a regression analysis with an interaction if I am already including a decomposed version of the main effect. For example, let: ...
2
votes
0answers
24 views

Estimating CES utility (not production) function parameters

The CES utility function has the form \begin{equation} u(x_1,\dots,x_n)=\left[\sum_{i=1}^n\alpha_ix_i^\rho\right]^{1/\rho}, \end{equation} where $\alpha_i$ is the consumption share parameter and $\...

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