Showing 1 - 10 of 13
This paper tackles the issue of economic time-series modeling from a joint time and frequency-domain standpoint, with the objective of estimating the latent trend-cycle component. Since time-series records are data strings over a finite time span, they read as samples of contiguous data drawn...
Persistent link: https://www.econbiz.de/10010710935
The effects of the recent economic recession have been widely discussed, particularly at the macro economic level. However, the economic downturn has been pervasive and has also determined a range of economic effects at different territorial levels. It has therefore become necessary to set up...
Persistent link: https://www.econbiz.de/10010819061
In this paper we propose a new macro-micro econometric framework which incorporates both aggregate labour demand and supply, and the labour market flows which determine the steady-state unemployment rate. Thus, we can simulate either demand or supply shocks and therefore assess their impacts on...
Persistent link: https://www.econbiz.de/10010786780
Over the last decade much research has been carried out on the topic of econometric non-stationary panel data, especially because of the availability of new datasets (e.g. the Penn World Tables) in which the time-series dimension and the cross-section dimension are of the same order of...
Persistent link: https://www.econbiz.de/10010786868
Persistent link: https://www.econbiz.de/10010935669
This paper is an applied analysis of the causal structure of linear multi-equational econometric models. Its aim is to identify the kind of relationships linking the endogenous variables of the model, distinguishing between causal links and feedback loops. The investigation is first carried out...
Persistent link: https://www.econbiz.de/10010710964
The aim of this paper is that of giving a finer insight into the analytic foundations of vector autoregressive models (VAR) in comparison with classical econometric models. To this end we show the links between the techniques of structural and VAR model building on the one hand, and the...
Persistent link: https://www.econbiz.de/10010878155
Persistent link: https://www.econbiz.de/10005104635
The paper establishes a unified representation theorem for (co)integrated processes up to the second order which provides a compact and informative insight into the solution of VAR models with unit roots, and sheds light on the cointegration features of the engendered processes. The theorem is...
Persistent link: https://www.econbiz.de/10005687133
Persistent link: https://www.econbiz.de/10005687139