Similar Search Results

On the Causality Between Saving and Growth: Long- and Short-Run Dynamics and Country Heterogeneity

Andersson, Björn - 1999

, and tests of Granger non-causality are performed within the estimated systems. The main results show that the causal … chains linking saving and output differ across countries, and also that causality associated with adjustments to long …-run relations might go in different directions than causality associated with short-term disturbances. …

Persistent link: https://www.econbiz.de/10010321740

The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren; Nielsen, Morten Ørregaard - 2016

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model Xt = ᵧZt + Yt, where Zt belongs to a large class of...

Persistent link: https://www.econbiz.de/10011583206

Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk

Strachan, Rodney W.; van Dijk, Herman K. - 2008

A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...

Persistent link: https://www.econbiz.de/10010325721

Identification based on higher moments

Lewis, Daniel J. - 2024

Identification based on higher moments has drawn increasing theoretical attention and been widely adopted in empirical practice in macroeconometrics in the last two decades. This article reviews two parallel strands of the literature: identification strategies based on heteroskedasticity and...

Persistent link: https://www.econbiz.de/10014480567

Convex treatment response and treatment selection

Boes, Stefan - 2010

This paper analyzes the identifying power of weak convexity assumptions in treatment effect models with endogenous selection. The counterfactual distributions are constrained either in terms of the response function, or conditional on the realized treatment, and sharp bounds on the potential...

Persistent link: https://www.econbiz.de/10010315574

Causal effects of monetary shocks: semiparametric conditional independence tests with a multinomial propensity score

Angrist, Joshua D.; Kuersteiner, Guido M. - 2008

effects is based on a selection-on-observables assumption, non-causality amounts to the conditional independence of outcomes … and policy changes. This paper develops a semiparametric test for conditional independence in time series models linking a … multinomial policy variable with unobserved potential outcomes. Our approach to conditional independence testing is motivated by …

Persistent link: https://www.econbiz.de/10010270625

Searching for the Causal Structure of a Vector Autoregression

Hoover, Kevin D.; Demiralp, Selva - 2003

based on relations of conditional independence to select among the possible causal orders ? or at least to reduce the …

Persistent link: https://www.econbiz.de/10010263234

Causal inference by independent component analysis with applications to micro- and macroeconomic data

Moneta, Alessio; Entner, Doris; Hoyer, Patrik; Coad, Alex - 2010

Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this paper, we present a recently developed method for exploiting non-Gaussianity in the data for estimating such models, with the aim of capturing the causal structure...

Persistent link: https://www.econbiz.de/10010269741

Graphical models for structural vector autoregressions

Moneta, Alessio - 2005

The identification of a VAR requires differentiating between correlation and causation. This paper presents a method to deal with this problem. Graphical models, which provide a rigorous language to analyze the statistical and logical properties of causal relations, associate a particular set of...

Persistent link: https://www.econbiz.de/10010328494

Simultaneous causality in international trade

Weber, Enzo - 2007

import functions or exportled growth. Focusing on the US relations with Euroland and Canada, cointegration analyses however …

Persistent link: https://www.econbiz.de/10010263683