Now showing items 1-6 of 6
Insurance and Rural Welfare: What can Panel Data tell us?
(Amsterdam : Tinbergen Institute, 2007-01-26)
Assessing the scope for insurance in rural communities usually requires a structural model of household behavior under risk. One of the few empirical applications of such models is the study by Rosenzweig and Wolpin (1993) ...
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form
(Amsterdam : Tinbergen Institute, 2004-01-27)
In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type ...
Growth and Risk: Methodology and Micro Evidence
(Amsterdam : Tinbergen Institute, 2003-09-02)
There has been a revival of interest in the effect of risk on economic growth. We quantify both ex ante and ex post effects of risk using a stochastic version of the Ramsey model. We develop a simulation-based econometric ...
A Cointegration Model for Search Equilibrium Wage Formation
(Amsterdam : Tinbergen Institute, 2003-11-03)
In flow models of the labor market, wages are determined by negotiations between workers and employers on the surplus value of a realized match. From this perspective our study presents an econometric analysis of the ...
A Meta-analysis of the Price Elasticity of Gasoline Demand. A System of Equations Approach
(Amsterdam : Tinbergen Institute, 2006-11-29)
Automobile gasoline demand can be expressed as a multiplicative function of fuel efficiency, mileage per car and car ownership. This implies a linear relationship between the price elasticity of total fuel demand and the ...
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters
(Amsterdam : Tinbergen Institute, 2007-12-07)
In this paper we introduce time-varying parameters in the dynamic Nelson-Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different maturities, known as the term structure. The ...