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Use of Markov Chain Monte Carlo in Estimating the Economy Model

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This project follows the heterogeneous agent market segmented model of Landon-Lane and Occhino (2007) with using Korean data, M1 and GDP deflator from 1882:I to 2007:II. This paper estimates parameters with Monte Carlo Markov Chain. The fraction of traders, λ, in Korea is 15.64%. The quarterly preferences discount factor’s, β, posterior mean is 0.9922. The posterior mean of the inverse of the elasticity of the labor supply to the real wage, ϕ�, is 0.0316. The elasticity of the labor supply to the real wage has a very large value. By Hansen (1985) and Christiano and Eichenbaum (1992) and Cooley and Hansen (1989), models having large elasticity of the aggregate labor supply better match macroeconomic data.

목차

Abstract
 1. Introduction
 2. Literature Review
 3. Model
 4. Methodology
 5. Data and Prior Distributions
 6. Results
 7. Conclusion
 References

저자정보

  • Seung Moon Lee Department of Economics, Rutgers University, 75 Hamilton Street, New Brunswick, NJ, US

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