Showing 1 - 10 of 16
When quantifying the importance of supply and demand for oil price fluctuations, a wide range of estimates have been reported. Models identified via a sharp upper bound on the short-run price elasticity of supply find supply shocks to be minor drivers. In turn, when replacing the upper bound...
Persistent link: https://www.econbiz.de/10014536946
We propose to exploit stochastic volatility for statistical identification of Structural Vector Autoregressive models (SV-SVAR). We discuss full and partial identification of the model and develop efficient EM algorithms for Maximum Likelihood inference. Simulation evidence suggests that the...
Persistent link: https://www.econbiz.de/10011892136
We represent the dynamic relation among variables in vector autoregressive (VAR) models as directed graphs. Based on these graphs, we identify so‐called strongly connected components. Using this graphical representation, we consider the problem of variable choice. We use the relations among...
Persistent link: https://www.econbiz.de/10014503621
In this paper we provide a general two‐step framework for linear projection estimators of impulse responses in structural vector autoregressions (SVARs). This framework is particularly useful for situations when structural shocks are identified from information outside the VAR (e.g. narrative...
Persistent link: https://www.econbiz.de/10014503705
Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...
Persistent link: https://www.econbiz.de/10010310204
Persistent link: https://www.econbiz.de/10010310241
In this paper we analyze the sources of German unemployment within a structural vector error correction model (SVECM) framework. For this purpose, we propose a method to estimate an exactly identified Subset SVECM, which is a SVECM with short run parameter restrictions. A cointegration analysis...
Persistent link: https://www.econbiz.de/10010310328
The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets....
Persistent link: https://www.econbiz.de/10010310539
We investigate the small sample properties of two types of weak exogeneity tests in cointegrated VAR models that are frequently used in applied work. The first one is the standard Likelihood Ratio (LR) test in the Johansen framework. The second test is based on mapping the cointegrated VAR model...
Persistent link: https://www.econbiz.de/10010310592
The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface...
Persistent link: https://www.econbiz.de/10010319192