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Few economists now question the validity
of the Friedman-Phelps accelerationist hypothesis
that the Phillips curve is vertical in
the long run -at least as a first-order approximation.
Indeed. the...
Quantile Elasticity of International Tourism Demand for South Korea using Quantile Autoregressive Distributed Lag Model
Tourism demand Quantile autoregression Elasticity Response analysis
2011/4/1
This paper investigates international inbound tourism demand for South Korea and its determinants using quantile autoregressive model. In contrast to previous studies which dealt with only conditional...
A Type of HJM Based Affine Model: Theory and Empirical Evidence
Affine Term Structure Model HJM Finite Dimensional Realization Linear Realization Theory State Space Framework Macro-economy
2011/4/2
In this paper a type of Heath, Jarrow and Morton (1992) (HJM) based affine model is derived theoretically. This type of affine model is obtained by applying Linear Realization Theory to construct Fini...
Maximum entropy autoregressive conditional heteroskedasticity model
Maximum entropy density ARCH models Excess kurtosis Asymmetry Peakedness of distribution Stock returns data
2011/4/2
In many applications, it has been found that the autoregressive conditional heteroskedasticity (ARCH) model under the conditional normal or Student’s t distributions are not general enough to account ...
Can the Random Walk Model be Beaten in Out-Of-Sample Density Forecasts? Evidence from...
Density forecasts GARCH Intraday exchange rate Jumps Maximum likelihood estimation Nonlinear time series Out-of-sample forecasts Regime-switching
2011/4/2
It has been documented that random walk outperforms most economic structural and time series models in out-of-sample forecasts of the conditional mean dynamics of exchange rates. In this paper, we stu...
A Consistent Model Specification Test with Mixed Discrete and Continuous Data
Consistent test Parametric functional form Nonparametric estimation
2011/4/2
In this paper we propose a nonparametric kernel-based model specification test that can be used when the regression model contains both discrete and continuous regressors. We employ discrete variable ...
Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts? Evidence from Intraday Forei
Density forecasts GARCH Intraday exchange rate Jumps Maximum likelihood estimation Nonlinear time series Out-of-sample forecasts Regime-switching
2011/4/6
It has been documented that random walk outperforms most economic structural and time
series models in out-of-sample forecasts of the conditional mean dynamics of exchange rates.
Designing Optimal Taxes with a Microeconometric Model of Household Labour Supply
Labour supply optimal taxation random utility model microsimulation.
2014/6/25
The purpose of this paper is to present an exercise where we identify optimal income tax rules under the constraint of fixed tax revenue. To this end, we estimate a microeconomic model with 78 paramet...