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Efficient estimation and particle filter for max-stable processes

Author

Listed:
  • Kazuya Kamiya

    (Faculty of Economics, University of Tokyo)

  • So Kubota

    (Graduate School of Economics, University of Tokyo)

  • Kayuna Nakajima

    (Graduate School of Economics, University of Wisconsin)

Abstract

In this paper, we present a new logic of indeterminacy of stationary monetary equilibria. We rst show that, in a class of dynamic Walrasian market models with at money, stationary equilibria are indeterminate; that is, there exists a continuum of stationary equilibria, where the value of money varies across the stationary equilibria. Then we explore the logic of the indeterminacy, and show that it can be applied not only to dynamic Walrasian market models but also to Jean et al. (2010)'s search model, where agents are also allowed for periodic access to Walrasian markets.

Suggested Citation

  • Kazuya Kamiya & So Kubota & Kayuna Nakajima, 2011. "Efficient estimation and particle filter for max-stable processes," CIRJE F-Series CIRJE-F-792, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2011cf792
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    References listed on IDEAS

    as
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    11. Kazuya Kamiya & Takashi Shimizu, 2007. "On The Role Of Tax Subsidy Scheme In Money Search Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(2), pages 575-606, May.
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