This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work...

Se considera la estimacion y la inferencia de vectores autorregresivos en panel (VAP) con efectos fijos cuando la dimension temporal del panel es finita y la dimension de corte transversal es grande. Se propone un estimador de maxima verosimilitud (MV), basado en una funcion de verosimilitud...

Este trabajo presenta una estimación de los efectos de cambios en la estructura demográfica en las tendencias de medio plazo de las principales variables macroeconómicas. Para ello se utilizan datos de panel de 21 economías de la OCDE que, mediante un VAR, permiten cuantificar tanto los...

This paper attempts to provide a conceptual framework for the analysis of counterfactual scenarios using macroeconometric models. As an application we consider UK entry to the euro. Entry involves a long-term commitment to restrict UK nominal exchange rates and interest rates to be the same Lis...

A large literature has used tests for Granger (1969) non-causality, GNC, to examine the interaction of military spending with the economy. Such tests answer a specific although quite limited question: can one reject the null hypothesis that one variable does not help predict another? If one can...