Simulation estimation of time-series models

Inside money, credit, and investment

“…The parameters are partitioned into two groups and determined via a combination of estimation and calibration. The parameters η, ρ, and κ are estimated to match particular dynamic properties of the impulse responses of household and business investment from the model with those illustrated in Figure 1 (see Lee and Ingram, 1991). The remaining parameters are calibrated so the resulting steady-state of the model matches particular longrun properties of the US economy.…”

A Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics

“…The main advantage of SMM lies in its flexibility of the choice of moment conditions that allow us to identify the staggered pricing parameter γ. See Pakes and Pollard (1989), Lee and Ingram (1991) and Duffie and Singleton (1993) for a detailed description of the method and its asymptotic properties, and Michaelides and Ng (2000) for an investigation of its finite-sample properties in the context of the speculative storage model.…”

“…Under some regularity conditions, Lee and Ingram (1991) and Duffie and Singleton (1993) show that the SMM estimator is asymptotically normally distributed…”

Dissent in monetary policy decisions

“…That is, in giving their consent, they foresee the consequences that this may have on the nal decision at the meeting. 18 It bears stressing that voting decisions do not depend on (voting and dissent) decisions that have been made in the previous meeting.…”

“…The consensus norm is increasing 18 However, they abstract from the consequences of their voting decision on future meetings via the status quo. See Riboni and Ruge-Murcia (2010, p. 410), where we argue that removing this assumption does not alter the main thrust of our results.…”