Moment Condition Models in Empirical Economics

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Show simple item record DE ALMEIDA DUARTE LOPES RISCADO, Sara Maria 2012-06-20T15:08:13Z 2012-06-20T15:08:13Z 2012
dc.description Defence date: 1 June 2012
dc.description Examining Board: Professor Richard Spady, Johns Hopkins University (External Supervisor); Professor Peter Hansen, European University Institute; Professor Gianni Amisano, European Central Bank; Professor Christian Matthes, Universitat Pompeu Fabra.
dc.description The third chapter of this dissertation is a joint research work developed during my internship in the European Investment Bank. It is a co-authored article with Juraj Stancik, from CERGE-EI, Charles University Prague, Academy of Sciences of the Czech Republic, and Timo Valila, from the European Investment Bank. Juraj helped me to assemble the dataset and Timo redacted the text. My contribution consisted in reviewing literature and performing all the econometric analysis.
dc.description.abstract In the first chapter of this dissertation, we approach the estimation of dynamic stochastic general equilibrium models through a moments-based estimator, the empirical likelihood. We try to show that this inference process can be a valid alternative to maximum likelihood. The empirical likelihood estimator only requires knowledge about the moments of the data generating process of the model. In this context, we exploit the fact that these economies can be formulated as a set of moment conditions to infer on their parameters through this technique. For illustrational purposes, we consider the standard real business cycle model with a constant relative risk adverse utility function and indivisible labour, driven by a normal technology shock. In the second chapter, we explore further aspects of the estimation of dynamic stochastic general equilibrium models using the empirical likelihood family of estimators. In particular, we propose possible ways of tackling the main problems identified in the first chapter. These problems resume to: (i) the possible existence of dependence between the random variables; (ii) the definition of moment conditions in the dynamic stochastic general equilibrium models setup; (iii) the alternatives to the data generation process used in the first chapter. In the third chapter, we investigate the short run effects of macroeconomic and fiscal volatility on the decision of the policy maker on how much to consume and how much to invest. To that end, we analyse a panel of 10 EU countries during 1991-2007. Our results suggest that increases in the volatility of regularly collected and cyclical revenues such as the VAT and income taxes tend to tilt the expenditure composition in favour of public investment. In contrast, increases in the volatility of ad hoc -type of taxes such as capital taxes tend to favour public consumption spending, albeit only a little. en
dc.format.mimetype application/pdf
dc.language.iso en en
dc.relation.ispartofseries EUI PhD theses en
dc.relation.ispartofseries Department of Economics en
dc.rights info:eu-repo/semantics/openAccess
dc.title Moment Condition Models in Empirical Economics en
dc.type Thesis en
dc.identifier.doi 10.2870/44441
dc.neeo.contributor RISCADO|Sara Maria de Almeida Duarte Lopes|aut|
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