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Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at t...
Appropriate real-time forecasting models for the US retail price of gasoline yield substantial reductions in the mean-squared prediction error (MSPE) at horizons up to 2 years... -
MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANA...
The mismatch between the timescale of DSGE (dynamic stochastic general equilibrium) models and the data used in their estimation translates into identification problems,... -
Aggregation is not the solution: the PPP puzzle strikes back (replication data)
Recently, Imbs, Mumtaz, Ravn and Rey (2005, hereinafter IMRR) have argued that much of the purchasing power parity (PPP) puzzle is due to upwardly biased estimates of... -
Aggregate vs. disaggregate data analysis—a paradox in the estimation of a mon...
We use Japanese aggregate and disaggregate money demand data to show that conflicting inferences can arise. The aggregate data appears to support the contention that there was... -
A practical log-linear aggregation method with examples: heterogeneous income...
A practical aggregation method for heterogeneous log-linear functions is presented. Inequality measures are employed in the construction of a simple but exact aggregate... -
Heterogeneity biases, distributional effects, and aggregate consumption: An e...
Using stratified microdata from the Canadian FAMEX (78-86) surveys, this paper investigates whether observed heterogeneity in marginal propensities to consume across strata...
