Seminars 2009

Abstract
Econometrics is about confronting economic models with the data. In doing so it is crucial to choose a statistical model that not only contains the economic model as a submodel, but also contains the data generating process. When this is the case, the statistical model can be analyzed by likelihood methods. When this is not the case, but likelihood methods are applied nonetheless, the result is incorrect inference. In his paper we illustrate the problem of possible incorrect inference with a recent application of a DSGE model to US data (Ireland, 2004). Specifically, this paper discusses two broad methodological questions.

1. How should a statistical model be chosen to achieve valid inference for the economic model?
2. Given a correctly chosen statistical model, can we rely on the asymptotic results found in the statistical literature for the analysis of the data at hand?

Using some simple examples, the paper first discusses some unfortunate consequences of applying Gaussian maximum likelihood when the chosen statistical model does not properly describe the data. It also demonstrates that even when the correct statistical model is chosen, asymptotic results derived for stationary processes cannot be used to conduct inference on the steady state value for a highly persistent stationary process.

Attività dell'EIEF

Stanislav Anatolyev-New Economic School, Moscow

Francesco Russo - Boston University (Job Market Seminar)

Eric Weese - MIT (Job Market Seminar)

Mathis Wagner - University of Chicago (Job Market Seminar)

Marc Hallin - Université Libre de Bruxelles

Emilio Calvano - Toulouse School of Economics (Job Market Seminar)

Ufuk Akcigit - MIT (Job Market Seminar)

Aspen Gorry- University of Chicago (Job Market Seminar)

Sirio Aramonte - London Business School (Job Market Seminar)

Giacomo Ponzetto - Harvard University (Job Market Seminar)

Hakki Yazici - University of Minnesota (Job Market Seminar)

Joshua Miller - Univeristy of Minnesota Twin Cities (Job Market Seminar)

Stefano Sacchetto - London Business School (Job Market Seminar)

Bulent Guler- The University of Texas at Austin (Job Market Seminar)

David Martinez Miera - CEMFI (Job Market Seminar)

David Dorn - Boston University (Job Market Seminar)

Roberto Piazza - University of Minnesota (Job Market Seminar)

Tobias Broer - European University Institute (Job Market Seminar)

Lutz Kilian- University of Michigan (Lunch Seminar)

Andrea Pozzi - Stanford University (Job Market Seminar)

Gustaf Bruze - University of Chicago (Job Market Seminar)

Facundo Piguillem - University of Minnesota (Job Market Seminar)

Bernard Salanié - Columbia University

Antoni Espasa-Universidad Carlos III

Silvia Barcellos - Princeton University (Job Market Seminar)

Leandro Carvalho - Princeton University (Job Market Seminar)

Jonathan Halket - New York University (Job Market Seminar)

Klaus Adam-Mannheim University

Hank Farber - Princeton University

Sung K. Ahn - Washington State University

Paolo Surico-Bank of England

Victor Lavy-The Hebrew University of Jerusalem

Georg Weizsäcker-LSE

Ingrid Van Keilegom-Université catholique de Louvain

Keith Crocker-The Pennsylvania State University

Riccardo Scarpa-The University of Waikato

Workshop on Structural Approaches to Productivity and Industrial Dynamics (Part I)

Aleksey Tetenov-Collegio Carlo Alberto

Workshop on Structural Approaches to Productivity and Industrial Dynamics (Part II)

Anastasios Karantounias - Atlanta FED

Paula Bustos - Universitat Pompeu Fabra and CREI

Luca Anderlini - Georgetown University

Marcus Feldman - Stanford University

Serge Guillas-UCL

Andrea Tambalotti-Federal Bank of New York

Paolo Zaffaroni - Imperial College London

Costas Azariadis - UCLA

Gary Koop - University of Strathclyde

George Akerlof - University of California, Berkeley

David Levine - Washington University

Edi Karni - Johns Hopkins University

Martijn Cremers - Yale University

Francis Vella - Georgetown University

Diego Comin - Harvard Business School

Andrea Vindigni - Princeton University

Irina Telyukova - University of California - San Diego

Fernando Alvarez - University of Chicago, Francesco Lippi - University of Sassari and Luigi Guiso - EUI Florence

Effi Benmelech - Harvard University and NBER

Aleh Tsyvinski - Yale University

Martin Uribe - Columbia University

Karl Schlag - Universidad Pompeu Fabra

Gianni De Nicolò - IMF

Kevin Lang - Boston University

Eric Ghysels - University of North Carolina

Fabio Canova - Universitat Pompeu Fabra

Francisco J. Ruge - Murcia - University of Montreal

Jesus Carro - Universidad Carlos III de Madrid

Mariassunta Giannetti - Stockholm School of Economics

Bartosz Mackowiak - European Central Bank

Massimo Franchi - Università di Roma “La Sapienza”

Massimo Morelli - Columbia University

12th Conference of the ECB-CFS Research Network on “Learning from the Crisis: Financial Stability, Macroeconomic Policy and International Institutions (Part I)

12th Conference of the ECB-CFS Research Network on “Learning from the Crisis: Financial Stability, Macroeconomic Policy and International Institutions (Part II)

Pedro Teles - FCEE, Universidade Católica Portuguesa

Roberto Renò - University of Siena

Dezsö Szalay - University of Warwick-Bonn

Arnoud W.A. Boot - University of Amsterdam

LABOUR Lectures: Costas Meghir - University College London

LABOUR Lectures: Costas Meghir - University College London