Found 2 article(s) for author 'methodology'

Identification and Estimation of Dynamic Causal Effects in Macroeconomics

Identification and Estimation of Dynamic Causal Effects in Macroeconomics. James Stock, June 8, 2017, Paper, “An exciting development in empirical macroeconometrics is the increasing use of external sources of as-if randomness to identify the dynamic causal effects of macroeconomic shocks. This approach – the use of external instruments – is the dynamic, macroeconometric counterpart of the highly successful strategy in microeconometrics of using external as-if randomness to provide instruments that identify causal effects. This lecture provides conditions on instruments and control variables under which external instrument methods produce valid inference on dynamic causal effects, that is, structural impulse response function; these conditions can help guide the search for valid instruments in applications.Link

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How to use economic theory to improve estimators – Supplementary Appendix

How to use economic theory to improve estimators – Supplementary Appendix. Maximiliam Kasy, November 6, 2016, Paper, “This appendix provides some additional discussion, supplementing the manuscript of “How to use economic theory to improve estimators.” Our theoretical results suggest that the proposed empirical Bayes estimators should uniformly outperform unrestricted estimators and outperform structural (restricted) estimators for most parameter values. In Section A, we discuss some Monte Carlo simulations which do indeed confirm these predictions.Link

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