Forecasting in the presence of large shocks
Article Abstract:
A simple model was developed for extreme values in time series. The model, which was estimated for many macroeconomic variables that are controversial in terms of how their trends are best modeled, supports evidence similar to that presented by N.S. Balke and T.B. Fomby, P. Rappoport and L. Reichlin, and P. Perron. In addition, the model is consistent with the hypothesis of frequent shifts in trend, which was formulated by C.R. Nelson and C.I. Plosser. Methods for estimating the model were presented, including how parameter estimates of the model may be used to establish parametric bootstrap forecast intervals.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 1996
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The economic effects of immigration-a dynamic analysis
Article Abstract:
The economic effects of immigration are examined using a neo-classical growth model with overlapping dynasties. In effect it is demonstrated that in contrast to the predictions of the static models often used in the analysis of immigration, in a dynamic model with endogenous capital accumulation, shifts in factor prices that result from changes in immigration policy will be very self-effacing.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2004
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