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Recursos bibliográficos en papel y digitales -
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» Resultado: 3 registros
| Registro 1 de 3 | |
| Autor: | Hansen, Lars-Peter (Reviewer) |
| Título: | Review of: New approaches to macroeconomic modeling: Evolutionary stochastic dynamics, multiple equilibria, and externalities as field effects |
| Fuente: | Journal of Economic Literature. v.36, n.1. American Economic Association |
| Páginas: | pp. 239-241 |
| Año: | Mar. 1998 |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 2 de 3 | |
| Autor: | Hansen, Lars-Peter - Jagannathan, Ravi - |
| Título: | Assessing Specification Errors in Stochastic Discount Factor Models |
| Fuente: | Journal of Finance. v.52, n.2. American Finance Association |
| Páginas: | pp. 557-90 |
| Año: | June 1997 |
| Resumen: | In this article, the authors develop alternative ways to compare asset pricing models when it is understood that their implied stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on chi square statistics associated with null hypotheses that models are correct, the authors’ measures of model performance do not reward variability of discount factor proxies. One of their measures is designed to exploit fully the implications of arbitrage-free pricing of derivative claims. The authors demonstrate empirically the usefulness of their methods in assessing some alternative stochastic factor models that have been proposed in asset pricing literature. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 3 de 3 | |
| Autor: | Hansen, Lars-Peter - Heckman, James-J - |
| Título: | The Empirical Foundations of Calibration |
| Fuente: | Journal of Economic Perspectives. v.10, n.1. American Economic Association |
| Páginas: | pp. 87-104 |
| Año: | winter 1996 |
| Resumen: | Interest in simulating recently developed dynamic stochastic general equilibrium models of the economy stimulated a demand for parameters. This has given rise to calibration as advocated by Finn E. Kydland and Edward C. Prescott (1982). This paper explores the implicit assumptions underlying their calibration method. The authors question that there is a ready supply of micro estimates available to calibrate macroeconomic models. Measures of parameter uncertainty and specification sensitivity should be routinely reported. They propose a more symbiotic role for calibration as providing signals to microeconomists about important gaps in knowledge, which when filled will solidify the empirical underpinning, improving the credibility of the quantitative output. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
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