The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study.

Despite the commonly held belief that aggregate data display short-run comovement, there has been little discussion about the econometric consequences of this feature of the data. We use exhaustive Monte-Carlo simulations to investigate the importance of restrictions implied by common-cyclical features for estimates and forecasts based on vector autoregressive models.

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Year of publication:	2001-03
Authors:	Vahid, F. ; Issler, J.V.
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	Reduced rank models \| model selection criteria \| forecasting \| variance decomposition

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Extent:	application/pdf
Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2/01 20 pages
Classification:	C32 - Time-Series Models ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005149052