Calendar

Events Calendar

Frank Schorfheide, University of Pennsylvania

Econometrics

Thursday, October 04, 2018, 04:00pm - 05:30pm

Frank Schorfheide, University of Pennsylvania

        Abstract

 

Heterogeneity and Aggregate Fluctuations
Abstract: We specify a vector autoregressive model that stacks macroeconomic aggregates and cross-sectional distributions to provide semi-structural evidence about the interaction of aggregate and distributional dynamics. The specification of our functional VAR is motivated by a linearization of a reduced-form model in which dynamics of aggregate variables and a function of the lagged cross-sectional distribution of individual-level decisions or states, and the units (households or firms) base their decisions on lagged macroeconomic aggregates and lagged cross-sectional distributions. To make the functional VAR analysis tractable, we approximate the log-densities of the cross-sectional distributions as well as the transition kernels in the functional VARs by sieves. We apply our techniques to study the dynamics of technology shocks, per capita GDP, employment, and the earnings distribution.
Joint with Minsu Chang (Penn) and Xiaohong Chen (Yale)  

Location  NJ Hall 3rd Floor Library
Contact  Roger Klein

Upcoming Events

Fri Sep 25 @ 3:00PM - 04:00PM
Empirical Microeconomics
Maria Rosales, Rutgers University - Newark
Mon Sep 28 @ 2:30PM - 04:00PM
Money, History and Finance
Angela Vossmeyer, Claremont College
Wed Sep 30 @ 2:45PM - 04:15PM
Micro Theory/Experimental Seminar
Xuesong Huang, Rutgers University Graduate Student
Thu Oct 01 @ 1:30PM - 03:00PM
Econometrics
Xu Han, Temple University
Fri Oct 02 @ 3:00PM - 04:00PM
Empirical Microeconomics
Amanda Agan, Rutgers University
Mon Oct 05 @ 2:30PM - 04:00PM
Money, History and Finance
John Landon-Lane, Rutgers University
Thu Oct 08 @ 1:30PM - 03:00PM
Econometrics
Michael Leung, University of Southern California
Fri Oct 09 @ 2:00PM - 03:00PM
Empirical Microeconomics
Yeonbin Yang, Rutgers University Graduate Student
Mon Oct 12 @ 2:30PM - 04:00PM
Money, History and Finance
Peter Veru, University of Colorado
Fri Oct 16 @ 3:00PM - 04:00PM
Empirical Microeconomics
Jennifer Hunt, Rutgers University
Wed Oct 21 @ 2:45PM - 04:15PM
Micro Theory/Experimental Seminar
R. Vijay Krishna, Rutgers University Graduate Student
Fri Oct 23 @ 3:00PM - 04:00PM
Empirical Microeconomics
Suwei Luo, Rutgers University Graduate Student
Mon Oct 26 @ 2:30PM - 04:00PM
Money, History and Finance
Nathan Sussman, Geneva
Fri Oct 30 @ 3:00PM - 04:00PM
Empirical Microeconomics
Hyunjoo Jang, Rutgers University Graduate Student
Mon Nov 02 @ 2:30PM - 04:00PM
Money, History and Finance
James Morrison, LSE Political Science