This paper disentangles direct spillovers and common factors, the sources of correlations in simultaneous heteroscedastic systems. While these different components are not identifiable by standard means without restrictions, it is shown that they can be distinguished by specifying the variances...

We state that long-run restrictions that identify structural shocks in VAR models with unit roots lose their original interpretation if the fractional integration order of the affected variable is below one. For such fractionally integrated models we consider a medium-run approach that employs...

We state that long-run restrictions that identify structural shocks in VAR models with unit roots lose their original interpretation if the fractional integration order of the affected variable is below one. For such fractionally integrated models we consider a medium-run approach that employs...

We state that long-run restrictions that identify structural shocks in VAR models with unit roots lose their original interpretation if the fractional integration order of the affected variable is below one. For such fractionally integrated models we consider a medium-run approach that employs...

This paper disentangles direct spillovers and common factors as sources of correlations in simultaneous heteroscedastic systems. While these different components are not identifiable by standard means without restrictions, it is shown that they can be pinned down by specifying the variances of...

A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any contemporaneous connection of the endogenous...

This paper proposes estimating causalities in bilateral international trade in simultaneous systems, including domestic and foreign GDP as well as mutual trade flows. Conventional macroeconomic theory mainly follows partial approaches like import functions or export-led growth. Focusing on the...

This paper embarks to analyse the role of exports and investment supposed to be major sources of economic growth in Asia Pacific. Therefore at first, the cointegration properties of exports, capital formation and GDP are examined in vector error correction models (VECMs). The results confirm the...

This paper embarks to analyse the role of exports and investment supposed to be major sources of economic growth in Asia Pacific. Therefore at first, the cointegration properties of exports, capital formation and GDP are examined in vector error correction models (VECMs). The results confirm the...

In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous in uences between several variables, this model considers interaction in the...