Using Business Surveys for Calibration: Some New Results
Type de matériel :
TexteLangue : français Détails de publication : 2006.
Sujet(s) : Ressources en ligne : Abrégé : The authors propose two methodological improvements in calibration, i.e., the econometric relationships between qualitative data from business surveys and quantified macroeconomic data. The first consists in estimating different calibrations for each month in the quarter, in order to make the best statistical use of the information available when each monthly survey is published. The second consists in implementing a more “systematic” estimation method based on an algorithm recently presented by Krolzig and Hendry. The latter allows an “automatic” reproduction of the London School of Economics econometric methodology. The results obtained empirically validate the theoretical contribution of both methods.
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The authors propose two methodological improvements in calibration, i.e., the econometric relationships between qualitative data from business surveys and quantified macroeconomic data. The first consists in estimating different calibrations for each month in the quarter, in order to make the best statistical use of the information available when each monthly survey is published. The second consists in implementing a more “systematic” estimation method based on an algorithm recently presented by Krolzig and Hendry. The latter allows an “automatic” reproduction of the London School of Economics econometric methodology. The results obtained empirically validate the theoretical contribution of both methods.
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