Advances in Econometrics: Volume 2: Sixth World Congress
This 1994 two-volume set of articles reflects the state of research in theoretical and applied econometrics. The topics covered include time series methods, semiparametric methods, seasonality, financial economics, model solution techniques, economic development and labour economics.
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Evaluating structural microeconometric models of labour supply
Intertemporal labour supply an assessment
Simulation analysis of dynamic stochastic models applications to theory and estimation
Estimation of dynamic structural models problems and prospects discrete decision processes
Dynamic structural models problems and prospects mixed continuous discrete controls and market interactions
Comments on Marcet Rust and Pakes
Econometric analysis of representative agent intertemporal asset pricing models
Estimation of continuoustime models in finance
Political instability political weakness and inflation an empirical analysis
Credibility and the dynamics of stabilisation policy a basic framework
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agents aggregate algorithm alternative analysis approximation assume assumption asymptotic average behaviour coefficients cohort component computational constraint continuous-time credibility decision defined denote depend discrete discussion distribution dynamic Econometrica Econometrics Economic empirical endogenous equilibrium error estimation Euler equation evaluated example expected firms geometric Brownian motion given growth model Hansen implies increase individual inflation tax instrumental variables integration intertemporal substitution investment iterations Journal labour supply model lemma life-cycle likelihood linear literature marginal utility Markov maximum likelihood measure method of moments methods Monte Carlo integration Nash equilibrium nominal interest rate non-linear non-parametric observed obtain optimal Pakes panel papers parameters path period political polynomial problem programme rational expectations real interest rate restrictions sample seignorage semi-martingales simulation Singleton solution solve specification stabilisation stochastic structural models Theorem theory tion unobserved state variables utility function value function vector wage wealth effect within-period zero