Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.

Estimation and Inference in Econometrics

This paper develops and estimates a dynamic stochastic general equilibrium (DSGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilization. It is estimated with Bayesian techniques using seven key macroeconomic variables: GDP, consumption, investment, prices, real wages, employment, and the nominal interest rate. The introduction of ten orthogonal structural shocks (including productivity, labor supply, investment, preference, cost-push, and monetary policy shocks) allows for an empirical investigation of the effects of such shocks and of their contribution to business cycle e uctuations in the euro area. Using the estimated model, we also analyze the output (real interest rate) gap, dee ned as the difference between the actual and model-based potential output (real interest rate). (JEL: E4, E5)

/pdf/an-estimated-dynamic-stochastic-general-equilibrium-model-of-3l2zkahrlo.pdf

An estimated dynamic stochastic general equilibrium model of the euro area

This paper develops and estimates a dynamic stochastic general equilibrium (DSGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilisation. It is estimated with Bayesian techniques using seven key macro-economic variables: GDP, consumption, investment, prices, real wages, employment and the nominal interest rate. The introduction of ten orthogonal structural shocks (including productivity, labour supply, investment, preference, cost-push and monetary policy shocks) allows for an empirical investigation of the effects of such shocks and of their contribution to business cycle fluctuations in the euro area. Using the estimated model, the paper also analyses the output (real interest rate) gap, defined as the difference between the actual and model-based potential output (real interest rate).

An estimated dynamic stochastic general equilibrium model of the euro area. NBB Working Paper Nr. 35

Econometric policy evaluation: A critique

https://www.nber.org/system/files/working_papers/w8245/w8245.pdf

Does Financial Liberalization Spur Growth

The advanced internationalisation of markets and production processes continuously adds to the complexity of supply chains. At the same time improving the sustainability of the related international freight transport processes and optimising their efficiency is becoming a topic of central relevance. International freight transport models are an important tool to simulate impacts of measures taken to achieve such improvements of transport processes. Yet, the requirements towards international freight transport models are complex: they need to include various modes of transport, they need to cover different industries and their dynamics, they need to consider seasonality of supply and demand of goods, demographic parameters, economic developments, technological developments including their impact on production processes and structures, and many other aspects. Furthermore, international freight transport models need to include freight flows within countries as well as freight flows between the considered countries. This paper discusses the challenges which need to be confronted when developing international freight transport models which are able to correspond to the described complexity of international freight transport. Furthermore, it maps out the most important research gaps which need to be addressed by international freight transport modelling research in order to ensure that the challenges identified are captured within the models developed to improve international freight transport.

Challenges and future research needs towards international freight transport modelling

Freight transport models : ready to support transport policy of the future?

Towards improved port capacity investment decisions under uncertainty: a real options approach

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Challenges and future research needs towards international freight transport modelling

Freight transport models : ready to support transport policy of the future?

Towards improved port capacity investment decisions under uncertainty: a real options approach