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作者：Driscoll, JC; Kraay, AC
作者单位：Brown University; The World Bank
摘要：Many panel data sets encountered in macroeconomics, international economics, regional science, and finance are characterized by cross-sectional or spatial'' dependence. Standard techniques that fail to account for this dependence will result in inconsistently estimated standard errors. In this paper we present conditions under which a simple extension of common nonparametric covariance matrix estimation techniques yields standard error estimates that are robust to very general forms of spatial...
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作者：Carpenter, RE; Fazzari, SM; Petersen, BC
作者单位：Emory University; Washington University (WUSTL)
摘要：This study provides new evidence of the importance of financing constraints for explaining the dramatic cycles in inventory investment. We compare the empirical performance of different financial variables (coverage ratio, cash stocks, and cash flow) used in previous research to test for the presence of financing constraints. The comparison is undertaken in a common framework with an identical sample and high-frequency (quarterly) firm panel data. Cash flow is much more successful than cash st...
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作者：Abdelkhalek, T; Dufour, JM
作者单位：Universite de Montreal
摘要：We study the problem of measuring the uncertainty of computable general equilibrium (CGE) (or RBC)-type model simulations associated with parameter uncertainty. We describe two approaches for building confidence sets on model endogenous variables. The first uses a standard Wald-type statistic. The second approach assumes that a confidence set (sampling or Bayesian) is available for the free parameters, from which confidence sets are derived by a projection technique. The latter has two advanta...
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作者：Ghysels, E; Ng, S
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Boston College
摘要：Many continuous-time term structure of interest rate models assume a factor structure where the drift and volatility functions are affine functions of the state-variable process. These models involve very specific parametric choices of factors and functional specifications of the drift and volatility. Moreover, under the affine term structure restrictions not all factors necessarily affect interest rates at all maturities simultaneously. This class of so-called affine models covers a wide vari...
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作者：Lastrapes, WD
作者单位：University System of Georgia; University of Georgia
摘要：This paper proposes a Bayesian approach to incorporating specification and identification uncertainty into a VAR analysis of the dynamic effects of money supply shocks on the macroeconomy. The approach follows Poirier (1991) in averaging over discrete model specifications in forming posterior densities of the dynamic responses to such shocks. Two distinct means of identifying money supply shocks are considered here: one that imposes contemporaneous restrictions, and one that imposes long-run m...
