Showing 1 - 6 of 6
The 1970s and early 1980s witnessed two main approaches to the analysis of monetary policy. The first is the early new classical approach of Lucas, based on the assumptions of rational expectations and market clearing. The second is the atheoretical econometrics of Sims' VAR program. Both have...
Persistent link: https://www.econbiz.de/10009475566
There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. In this paper we present a statistical model that offers a congruent representation of part of the UK labour market since the mid 1960s. We use a cointegrated vector autoregressive...
Persistent link: https://www.econbiz.de/10009457933
There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war UK labour market. We use a cointegrated vector autoregressive Markov-switching model where...
Persistent link: https://www.econbiz.de/10009458580
It is investigated whether euro area variables can be forecast better based on synthetic time series for the pre-euro period or by using just data from Germany for the pre-euro period. Our forecast comparison is based on quarterly data for the period 1970Q1-2003Q4 for 10 macroeconomic variables....
Persistent link: https://www.econbiz.de/10009471761
In this paper we re-consider the theoretical basis for the Lucas Critique from the point of view of Robust Decision Theory. We first emphasise that the Lucas Critique rests on a weak theoretical paradigm in that it fails to consider the motivation for the policy change by the government and...
Persistent link: https://www.econbiz.de/10009485290
En este artículo se presenta un nuevo enfoque para la estimación de modelos de factores de gran dimensión cuyas cargas de factores están sujetas a cambios markovianos de régimen. Dicho enfoque consiste en una extensión del filtro de regresión de tres pasos lineal a casos en los cuales los...
Persistent link: https://www.econbiz.de/10012530589