Table 2: Estimation with Inferred Static Gap: Macroeconomic Data
|
Data |
Driving force ρ (annual) |
Increase in R2 |
|
BLS, as in CE (1993) |
0.13 | |
|
Sim. Quadr. Adj. |
1.00 |
0.00 |
|
Sim. Quadr. Adj., |
0.75a |
0.01 |
|
Sim. Quadr. Adj. as in CW (2001) |
0.47 |
0.03 |
|
Sim. Quadr. Adj., as in CW (2004) |
____________0.28____________ |
0.05 |
‘Increase in R2’ denotes the difference between the R2 obtained when estimating a model with a non-
constant hazard and the R2 when imposing a constant hazard, in both cases using the methodology in CE
(1993). ‘Sim. Quadr. Adj.’ stands for ‘Simulated Quadratic Adjustment’.
aThis value of ρ is somewhat below both the value in the driving force used in CE and the values used when
calibrating RBC models (see Cooley and Prescott, 1995).
12
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