This paper discusses serial correlation common features, CF, and integration of order 2, I(2), in VAR systems. The interplay of the CF restrictions and the I(2) conditions is discussed both for full VAR systems and for conditional systems with no levels and difference feedback, NF. Several...

This paper investigates possible structural changes induced by the Euro on the relations among wages, prices and unemployment for the five major European economies. The dynamic adjustment and the level relations are found to be different across subperiods as well as across countries. During the...

In this paper we discuss sensitivity of forecast with respect to the information set considered in prediction; we define a sensitivit measure called impact factor, IF. We calculate this measure in VAR processes integrated of order 0, 1 and 2. For VAR processes this measure is as simple function...

We generate observable expectations about fiscal variables through laboratory experiments using real world data from several European countries as stimuli.We estimate an econometric model of individual expectations for fiscal policy, which nests various theories of expectations-forming and...

This paper provides an operational procedure for putting indentifying restrictions on a simultaneous equations models. The algorithm works on the restrictions,not on the parameters, such that the identifying restrictions can be imposed before estimation.