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Working Paper
Bayesian Estimation and Comparison of Conditional Moment Models
Simoni, Anna; Shin, Minchul; Chib, Siddhartha (2019-12-09)
We provide a Bayesian analysis of models in which the unknown distribution of the outcomes is speci?ed up to a set of conditional moment restrictions. This analysis is based on the nonparametric exponentially tilted empirical likelihood (ETEL) function, which is constructed to satisfy a sequence of unconditional moments, obtained from the conditional moments by an increasing (in sample size) vector of approximating functions (such as tensor splines based on the splines of each conditioning variable). The posterior distribution is shown to satisfy the Bernstein-von Mises theorem, subject to a ...
Working Papers , Paper 19-51

Working Paper
Decomposing the Monetary Policy Multiplier
Alessandrini, Pietro; Jordà, Òscar; Venditti, Fabrizio (2023-05-24)
Financial markets play an important role in generating monetary policy transmission asymmetries in the US. Credit spreads only adjust to unexpected increases in interest rates, causing output and prices to respond more to a monetary tightening than to an expansion. At a one year horizon, the ‘financial multiplier’ of monetary policy—defined as the ratio between the cumulative responses of employment and credit spreads—is zero for a monetary expansion, -2 for a monetary tightening, and -4 for a monetary tightening that takes place under strained credit market conditions. These results ...
Working Paper Series , Paper 2023-14

Journal Article
Intergenerational Mobility and the Effects of Parental Education, Time Investment, and Income on Children’s Educational Attainment
Soytas, Mehmet A.; Gayle, George-Levi; Golan, Limor (2018)
This article analyzes the mechanisms through which parents? and children?s education are linked. It estimates the causal effect of parental education, parental time with children, and parental income during early childhood on the educational outcomes of children. Estimating the causal effects of time with children, income, and parental education is challenging because parental time with children is usually unavailable in many datasets and because of the problem of endogeneity of parental income, time with children, and education. The authors, therefore, use an instrumental variables approach ...
Review , Volume 100 , Issue 3 , Pages 281-95

Working Paper
Estimating Impulse Response Functions When the Shock Series Is Observed
Choi, Chi-Young; Chudik, Alexander (2019-03-04)
We compare the finite sample performance of a variety of consistent approaches to estimating Impulse Response Functions (IRFs) in a linear setup when the shock of interest is observed. Although there is no uniformly superior approach, iterated approaches turn out to perform well in terms of root mean-squared error (RMSE) in diverse environments and sample sizes. For smaller sample sizes, parsimonious specifications are preferred over full specifications with all ?relevant? variables.
Globalization Institute Working Papers , Paper 353

Working Paper
The global component of local inflation: revisiting the empirical content of the global slack hypothesis with Bayesian methods
Martinez-Garcia, Enrique (2015-02-01)
The global slack hypothesis is central to the discussion of the trade-offs that monetary policy faces in an increasingly more integrated world. The workhorse New Open Economy Macro (NOEM) model of Martnez-Garca and Wynne (2010), which fleshes out this hypothesis, shows how expected future local inflation and global slack affect current local inflation. In this paper, I propose the use of the orthogonalization method of Aoki (1981) and Fukuda (1993) on the workhorse NOEM model to further decompose local inflation into a global component and an inflation differential component. I find that the ...
Globalization Institute Working Papers , Paper 225

Working Paper
Spurious Inference in Unidentified Asset-Pricing Models
Robotti, Cesare; Gospodinov, Nikolay; Kan, Raymond (2014-10-31)
This paper studies some seemingly anomalous results that arise in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments (GMM). Strikingly, when useless factors (that is, factors that are independent of the returns on the test assets) are present, the models exhibit perfect fit, as measured by the squared correlation between the model's fitted expected returns and the average realized returns, and the tests for correct model specification have asymptotic power that is equal to the nominal size. In other ...
FRB Atlanta Working Paper , Paper 2014-12

Working Paper
(Visualizing) Plausible Treatment Effect Paths
Freyaldenhoven, Simon; Hansen, Christian (2025-09-24)
We consider estimation and inference for treatment effect paths. Examples include dynamic treatment effects, impulse response functions, and event study paths. We present two sets of plausible bounds to help visualize uncertainty associated with these paths. Both plausible bounds are often tighter than traditional confidence intervals, and can provide insights even when traditional (uniform) confidence bands appear uninformative. Our first set of bounds covers the average (or overall) effect rather than the entire path. Our second set of bounds imposes data-driven smoothness restrictions on ...
Working Papers , Paper 25-27

Working Paper
An Augmented Anderson-Hsiao Estimator for Dynamic Short-T Panels
Chudik, Alexander; Pesaran, M. Hashem (2021-03-27)
This paper introduces the idea of self-instrumenting endogenous regressors in settings when the correlation between these regressors and the errors can be derived and used to bias-correct the moment conditions. The resulting bias-corrected moment conditions are less likely to be subject to the weak instrument problem and can be used on their own or in conjunction with other available moment conditions to obtain more efficient estimators. This approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. This paper focuses on the latter, and ...
Globalization Institute Working Papers , Paper 327

Report
A New Jackknife Variance Estimator for Time-Series and Panel Regressions
Lopez Gaffney, Ignacio; Crump, Richard K.; Gospodinov, Nikolay (2024-10-01)
We introduce a new jackknife variance estimator for time-series and panel-data regressions. The novelty in our approach is that we first rotate the data using a particular choice of trigonometric basis functions. This rotation removes serial correlation in a broad class of time-series processes, including random walks, and enables the use of the conventional leave-one-out jackknife on the transformed space of the regressors and residuals. The procedure is tuning-parameter free and naturally adapts to the degree of persistence of the data. We prove the asymptotic validity of our variance ...
Staff Reports , Paper 1133

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