Assessing the accuracy of the aggregate law of motion in models with heterogeneous agents

By W. D. Haan. 2010

138 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/fc85b4e89ffabf161c8d5842734d4910ad1d1303

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In Economics and Econometrics

Citations in the corpus

Really Uncertain Business Cycles (2012, unknown): “With respect to macroeconomic uncertainty, existing work has documented that this measure is also countercyclical, including for example Schwert (1989), Campbell, Lettau, Malkiel, and Xu (2001), Engle and Rangel (2008), Jurado, Ludvigsson and Ng (2014), Stock and Watson (2012), or the survey in Bloo”
Macroeconomics and Household Heterogeneity (2016, background): “Denote by B the finite set of possible time discount factors.”
Mortgage Design in an Equilibrium Model of the Housing Market (2018, methodology): “To assess the accuracy of the forecast rules, we follow Den Haan (2010) and calculate the predicted price using the realized shocks 15, 30, 45, and 100 years into the future and compare the realized price to the predicted price.”
Entry, Exit, Firm Dynamics, and Aggregate Fluctuations (2016, unknown): “However, as pointed out by Den Haan (2010), this choice is questionable on at least three grounds.”
Inflation Dynamics and Time-Varying Volatility: New Evidence and an Ss Interpretation* (2014, methodology): “…law of motion to the actual law of motion periodby-period as is implied by the linear regression, a series of aggregate variables can be computed entirely from the conjectured law of motion and compared to results computed directly from the simulated model as suggested by Den Haan (2010).”
Precautionary Savings, Illiquid Assets, and the Aggregate Consequences of Shocks to Household Income Risk (2019, background): “Also the out-of-sample performance (see Den Haan (2010)) of the forecasting rules is good.”
The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium (2017, unknown): “rors approach the errors in Den Haan’s test. (This is also consistent with results reported in Den Haan’s study.) For each state variable xt and forecast bxt , Den Haan (2010) suggests reporting the standard deviation of the forecast error jðxt 2 bxtÞ scaled by the standard deviation of the state va”