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Author:Runkle, David E. 

Journal Article
Old ideas at work in the new economy

The Region , Volume 14 , Issue Jun , Pages 15-17, 40-42

Report
Statistical inference in the multinomial multiperiod probit model

Statistical inference in multinomial multiperiod probit models has been hindered in the past by the high dimensional numerical integrations necessary to form the likelihood functions, posterior distributions, or moment conditions in these models. We describe three alternative approaches to inference that circumvent the integration problem: Bayesian inference using Gibbs sampling and data augmentation to compute posterior moments, simulated maximum likelihood (SML) estimation using the GHK recursive probability simulator, and method of simulated moment (MSM) estimation using the GHK simulator. ...
Staff Report , Paper 177

Conference Paper
Another hole in the ozone layer: changes in FOMC operating procedure and the term structure

Proceedings , Paper 1, pt. 1

Journal Article
A bleak outlook for the U.S. economy

Economic activity in the United States has been growing more slowly than average for the past three years, and it is not likely to speed up soon. The slow growth has been due primarily to pessimism among consumers about their long-run personal income. That pessimism?and its extension to the U.S. economy as a whole?is confirmed by data on real estate prices and labor force participation and by the 1992?93 forecast of a Bayesian vector autoregression model.
Quarterly Review , Volume 15 , Issue Fall , Pages 18-25

Journal Article
Delayed financial disclosure: Mexico's recent experience

This article documents a delay in the public release of Mexican international reserve data in the months before Mexico's debt crisis at the end of 1994. The article establishes that in that year investors did not know the level of Mexican reserves before October; yet this lack of information did not seem to reduce investor confidence in the Mexican economy. The article does not establish whether the delay in releasing reserve data was due to logistical problems or to a government strategy. The possibility that the delay was strategic is evaluated by developing an economic model that captures ...
Quarterly Review , Volume 20 , Issue Fall , Pages 13-21

Report
Alternative computational approaches to inference in the multinomial probit model

This research compares several approaches to inference in the multinomial probit model, based on Monte-Carlo results for a seven choice model. The experiment compares the simulated maximum likelihood estimator using the GHK recursive probability simulator, the method of simulated moments estimator using the GHK recursive simulator and kernel-smoothed frequency simulators, and posterior means using a Gibbs sampling-data augmentation algorithm. Each estimator is applied in nine different models, which have from 1 to 40 free parameters. The performance of all estimators is found to be ...
Staff Report , Paper 170

Journal Article
The U.S. economy in 1989 and 1990: walking a fine line

Quarterly Review , Volume 13 , Issue Win , Pages 3-10

Report
An experimental study of learning and limited information in games

We report on experiments that tested the predictions of competing theories of learning in games. Experimental subjects played a version of the three-person matching-pennies game. The unique mixed-strategy Nash equilibrium of this game is locally unstable under naive Bayesian learning. Sophisticated Bayesian learning predicts that expectations will converge to Nash equilibrium if players observe the entire history of play. Neither theory requires payoffs to be common knowledge. We develop maximum-likelihood tests for the independence conditions implied by the mixed-strategy Nash equilibrium. ...
Staff Report , Paper 176

Journal Article
Bad news from a forecasting model of the U.S. economy

This paper describes and analyzes the 1990-92 economic forecasts of a Bayesian vector autoregression model developed by researchers at the Minneapolis Fed. The model's 1990 forecast was pretty bad - too optimistic about both inflation and economic growth, especially growth in consumption and housing. An analysis of the model's errors, however, turns up no reason to think the model is unsound. Based on data available on November 30, 1990, the model predicts weak economic conditions for the next two years: a likely recession in 1991 and moderate inflation and weak overall growth in 1991-92. The ...
Quarterly Review , Volume 14 , Issue Fall , Pages 2-10

Working Paper
Another hole in the ozone layer: changes in FOMC operating procedure and the term structure

FRB Atlanta Working Paper , Paper 92-15

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