# Tag Info

55

Structural estimation is a term coined by the Cowles commission which at the time seems to have been dominated by Haavelmo, Koopmans and a few others. The motto of the Cowles commission (after 1965) was: "Theory and Measurement". The phrase represents the underlying rationale of structural modelling, that measurement cannot be done without some kind of ...

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It depends$\ldots$ In your setting, the structural parameter $\psi$ is simply $1$ minus the value of the reduced form parameter $\beta$: $$\psi = 1 - \beta.$$ In such case, the mean of the estimator $\psi_n$ will be simply the mean of $1 - \beta_n$ and they will have the same variance (as the variance does not change if we add a fixed number or change sign)...

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There's no correct method to do this. DSGE guys will estimate the model by doing something like this: plugging in priors for their parameters and then running an optimization that minimizes the distance between model and data moments while maximizing the log likelihood from the priors. The data moments for them will be well known values of variances and ...

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Generally, price is endogenous in this set of simultaneous equations. One strategy we can use to overcome the bias is to find a valid instrument for price—call it $Z$. We’d need something that satisfies $Cov(P, Z) \neq 0$ and $Cov(Z, \mu_1) = 0$. The trouble with simultaneous equations is that upon observing some $(P, Q)$ pair, all we know is that it lies ...

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Check for example Postel-Vinay and Robin (2002) and references therein to see how people go about structurally modeling the labour market. The general framework is a dynamic one, where the job-search process is a Poisson arrival process for each worker, and the results are derived by finding the market equilibrium conditions. The interesting point in this ...

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It may not be a 100% match (and the details are a bit fuzzy in my memory), but I believe the model would be similar to Ericson and Pakes (1995). In their model, there are $N$ firms who make sequential choices Whether to enter the market or not (in your case, to consume or not), which is a discrete choice. How much to invest if they have entered (in your ...

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It is not possible ex-ante, it's all about: economic interpretations, i.e., economic schools of thought expectations on central banks' next moves, political/ideological views, the (hidden and/or unconscious) emerging willingnesses to induce self-fulfilling prophecies ... hence the debates that take place here and there. Whether a recession is cyclical or ...

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$b_t$ is the decision variable, and the value function is formulated as a function of the state variable of the problem. In your case, the role of the state variable is played by the $p$ parameter, which may change in each period (updated). So your Bellman equation is $$V(p_t) = \max_{b_t} \{u(b_t) + \beta E [V(p_{t+1})\mid t]\}$$ and I guess now you see ...

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After searching for a while, this is the best answer I can so far come up with. 1) A formalized argument for why identification could break down under BBL is from Srisuma ('13). He gives two specific examples in the online appendix where identification is lost because of using additive rather than multiplicative perturbations to construct off-equilibrium ...

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