Search Results - subject:"vector Autoregressive process"

Narrow search

The vector autoregression (VAR) approach to econometric modelling

1997

Persistent link: https://www.econbiz.de/10001361276

Permanent and transitory shocks, and the UK business cycle

Ravn, Morten O. - In: Journal of applied econometrics 12 (1997) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10001215439

Um modelo para a previsão conjunta do PIB, inflação e liquidez

Moreira, Ajax; Fiorencio, Antonio; Lopes, Hedibert Freitas - In: Revista de econometria 17 (1997) 1, pp. 67-111

Persistent link: https://www.econbiz.de/10001610796

Testing the expectations theory of the term structure of interest rates using model-selection methods

Chao, John C. (contributor); Chiao, Chaoshin (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 2 (1997) 4, pp. 95-108

Persistent link: https://www.econbiz.de/10001769671

Predictive evaluation of econometric forecasting models in commodity futures markets

Zeng, Tian (contributor); Swanson, Norman R. (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 2 (1997) 4, pp. 159-177

Persistent link: https://www.econbiz.de/10001769691

Resolving the liquidity puzzle

Serletis, Apostolos; Chwee, Victor - In: Macroeconomic dynamics 1 (1997) 4, pp. 720-739

Persistent link: https://www.econbiz.de/10001630108

When do long-run indentifying restrictions give reliable results?

Faust, Jon - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 3, pp. 345-353

Persistent link: https://www.econbiz.de/10001222714

The pace of structural change, cyclical shocks and unemployment dynamics : simulations using an empirical flow model

Butter, Frank A. G. den; Dijk, Mark van - 1997

Persistent link: https://www.econbiz.de/10000961553

Rational expectations in a VAR with Markov switching

Blix, Mårten - 1997

Persistent link: https://www.econbiz.de/10000629701

Fully Modified VAR Inference in Partially Nonstationary Models

Quintos, Carmela - 1997

To test for the number of cointegrating relationships among multivariate time series, the likelihood ratio (LR) test for ranks is commonly used. The distribution of the LR test in partially nonstationary models is nonstandard and nonsymmetric in the presence of non-iid errors. In contrast we...

Persistent link: https://www.econbiz.de/10014060485

A service of the

zbw