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on Econometric Time Series |
| By: | Brad Baxter (School of Economics, Mathematics & Statistics, Birkbeck); Liam Graham; Stephen Wright (School of Economics, Mathematics & Statistics, Birkbeck) |
| Abstract: | We relax the assumption of full information that underlies most dynamic general equilibrium models, and instead assume agents optimally form estimates of the states from an incomplete information set. We derive a version of the Kalman filter that is endogenous to agents' optimising decisions, and state conditions for its convergence. We show the (restrictive) conditions under which the endogenous Kalman filter will at least asymptotically reveal the true states. In general we show that incomplete information can have signi?cant implications for the time-series properties of economies. We provide a Matlab toolkit which allows the easy implementation of models with incomplete information. |
| Keywords: | Dynamic general equilibrium, Kalman filter, imperfect information, signal extraction |
| JEL: | E27 E37 |
| Date: | 2007–11 |
| URL: | http://d.repec.org/n?u=RePEc:bbk:bbkefp:0719&r=ets |
| By: | Essahbi Essaadi (Unité d'Analyse Quantitative Appliquée (UAQUAP)-ISG Tunis and GATE (UMR 5824 CNRS),); Jamel Jouini (F.S.E.G.N., E.S.S.A.I. and L.E.G.I., Université 7 Novembre de Carthage, Tunisie, GREQAM, Université de la Méditerranée, France); Walih Khallouli (Unité d'Analyse Quantitative Appliquée (UAQUAP) and ESSEC, Université de Tunis, Tunisie) |
| Abstract: | In this paper, we are interested in testing for contagion caused by the Thai bath collapse in July 1997. In line with earlier work, shift-contagion is defined as a structural change in the international propagation mechanisms of financial shocks. We adopt the Bai and Perron’s (1998) structural break approach to detect the endogenous break points in the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach allows solving the misspecification problem of crisis window. Our results indicate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand. |
| Keywords: | sequential selection procedure, shift-contagion, time-varying correlation |
| JEL: | C22 G15 |
| Date: | 2007–10 |
| URL: | http://d.repec.org/n?u=RePEc:gat:wpaper:0725&r=ets |
| By: | DeJong, David Neil; Dharmarajan, Hariharan; Liesenfeld, Roman; Richard, Jean-Francois |
| Abstract: | We develop a numerical filtering procedure that facilitates efficient likelihood evaluation in applications involving non-linear and non-gaussian state-space models. The procedure approximates necessary integrals using continuous or piecewise-continuous approximations of target densities. Construction is achieved via efficient importance sampling, and approximating densities are adapted to fully incorporate current information. |
| Keywords: | particle filter, adaption, efficient importance sampling, kernel density approximation |
| Date: | 2007 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:cauewp:6339&r=ets |