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Cyclical properties of a real business cycle model (replication data)
This paper tests the well-known real business cycle model of Kydland and Prescott (1988), using spectral methods for linear filters. Model spectra, coherencies, phase shifts,... -
Testing the implications of long-run neutrality for monetary business cycle m...
This paper compares sample fluctuations of the US business cycle with those predicted by a class of equilibrium monetary business cycle models. The predictions of the models are... -
Asset trading, transaction costs and the equity premium (replication data)
A model is developed that attempts to explain the historical size of the US equity premium by distinguishing between gross and net returns accruing to agents. The model derived... -
A duration model of irreversible oil investment: Theory and empirical evidenc...
The aim of this paper is to analyse the implications of the theory of irreversible investment under uncertainty for investment in oil fields on the United Kingdom Continental... -
The linear quadratic adjustment cost model and the demand for labour (replica...
In this paper we demonstrate a new way of testing the linear quadratic adjustment cost (LQAC) model under rational expectations. We illustrate how the parameter restrictions... -
Statistical inference in calibrated models (replication data)
This paper describes a Monte Carlo procedure to assess the performance of calibrated dynamic general equilibrium models. The procedure formalizes the choice of parameters and...
