Search Results - subject:"Identification restrictions"

Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions

Canova, Fabio; Forero, Fernando J. Pérez - In: Quantitative Economics 6 (2015) 2, pp. 359-384

identification restrictions are of linear or of nonlinear form. We study the transmission of monetary policy shocks in models with …

Persistent link: https://www.econbiz.de/10011599679

Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions

Canova, Fabio; Pèrez Forero, Fernando J. - In: Quantitative economics : QE ; journal of the … 6 (2015) 2, pp. 359-384

identification restrictions are of linear or of non-linear form. We study the transmission of monetary policy shocks in models with …

Persistent link: https://www.econbiz.de/10011757703

Estimation and inference of FAVAR models

Bai, Jushan; Li, Kunpeng; Lu, Lina - Volkswirtschaftliche Fakultät, … - 2014

autoregressive process, which further drives the comovement of a large number of observable variables. We study the identification … restrictions in the presence of observable factors. We propose a likelihood-based two-step method to estimate the FAVAR model that …

Persistent link: https://www.econbiz.de/10011108720

Is Sticky Price Adjustment Important for Output Fluctuations?

Keating, John W.; Kanyama, Isaac K. - Department of Economics, University of Kansas - 2013

We find that shocks with no immediate effect on the price level explain essentially all short-run variance of aggregate output while shocks that immediately affect price explain virtually none of that variance. Similar findings are obtained with aggregate, sectoral and industry-level data, both...

Persistent link: https://www.econbiz.de/10010603936

Interpreting Permanent Shocks to Output When Aggregate Demand May Not be Neutral in the Long Run

Keating, John W. - Department of Economics, University of Kansas - 2012

This paper studies Blanchard and Quah’s (1989) statistical model of permanent and transitory shocks to output using a set of arguably more plausible structural assumptions. Economists typically motivate this statistical model by assuming aggregate demand shocks have no long-run effect on the...

Persistent link: https://www.econbiz.de/10009650959

Estimation and inference of FAVAR models

Bai, Jushan; Li, Kunpeng; Lu, Lina - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 620-641

Persistent link: https://www.econbiz.de/10011692442

Is sticky price adjustment important for output fluctuations?

Keating, John William; Kanyama, Isaac K. - In: Review of Keynesian economics 3 (2015) 3, pp. 392-418

Persistent link: https://www.econbiz.de/10011312369

Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions

Canova, Fabio; Pérez Forero, Fernando J. - In: Quantitative economics : QE ; journal of the … 6 (2015) 2, pp. 359-384

Persistent link: https://www.econbiz.de/10011343754

Estimating overidentified, non-recursive, time varying coefficients structural VARs

Canova, Fabio; Pérez Forero, Fernando J. - C.E.P.R. Discussion Papers - 2014

deal in a unified way with just-identified (recursive or non-recursive) or overidentified systems where identification … restrictions are of linear or of non-linear form. We study the transmission of monetary policy shocks in models with time varying …

Persistent link: https://www.econbiz.de/10011084151

Valid Bayesian Estimation of the Cointegrating Error Correction Model.

Strachan, R. - Department of Econometrics and Business Statistics, … - 2000

Two methods of identifying cointegrating vectors are commonly used: linear restrictions and the nonlinear method of Johansenos maximum likelihood procedure. That linear method can produce invalid estimates while the Johansen approach always produces valid estimates has been recognised in several...

Persistent link: https://www.econbiz.de/10005125277