Search Results - subject:"Forecast error variance"

Generalized Two-Step Maximum Likelihood Estimation of Structural Vector Autoregressive Models partially identified with Short-Run Restrictions

Jang, Kyungho - Econometric Society - 2004

impulse responses and forecast-error variance decomposition for partially identified models. As an application, we consider an …

Persistent link: https://www.econbiz.de/10005702745

Farmgate, Processor, and Consumer Price Transmissions in the Wheat Sector

Babula, Ronald A.; Bessler, David A. - In: Journal of Agricultural Economics Research (1989) 3

Time series techniques (vector autoregression or VAR) are employed to model a three-price dynamic system of the farmgate, processor, and consumer prices of wheat-related goods. An increase (presumably drought-induced) in farmgate wheat price is simulated to determine impacts on processor and...

Persistent link: https://www.econbiz.de/10010910537

Ein alternativer Indikator der deutschen Geldpolitik. Untersuchung im Rahmen eines strukturellen VAR-Modells / An Improved Indicator of German Monetary Policy A Structural VAR Analysis

Jennes, Barbara - In: Jahrbücher für Nationalökonomie und Statistik 221 (2001) 4, pp. 371-393

response functions indicating that the effectiveness of monetary policy is underestimated in the standard model. Forecast error … variance decomposition indicates that demandside shocks really are an important source of day-to-day interbank rate innovations …

Persistent link: https://www.econbiz.de/10014608842

Agricultural Markets Integration in the European Union: Further Empirical Evidence on the Pork Sector

Isabel Sanjuån, Ana; María GiI, José - In: Journal of Economic Integration 14 (1999), pp. 203-225

about perfect integration are formulated and test. Forecast Error Variance decomposition is used to examine the short …

Persistent link: https://www.econbiz.de/10010991730