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This contribution studies the application of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models … software usually provides parameter estimators that are not robust against unknown forms of heteroskedasticity. Different … bootstrap methodologies are available which are able to generate heteroskedasticity robust parameter estimates. However, common …
Persistent link: https://www.econbiz.de/10009511728
single perceived shock that closely aligns with observed inflation surprises. The time-varying impulse responses indicate a … significant decline in the perceived persistence of this shock, suggesting that inflation expectations have become more "anchored …
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financial shocks generate effects on the economy that increase more than proportionately in the size of the shock when the shock … is negative, but not when the shock is positive. …
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The cointegration revolution has had a substantial impact on applied analysis. The methods for conducting this analysis are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can be used as a textbook for courses on...
Persistent link: https://www.econbiz.de/10012673424
instrumental variables (IV) model with an endogenous binary treatment and a binary instrument, we allow the heteroskedasticity of … the outcome. In this endogenous heteroskedasticity IV (EHIV) model with heterogeneous individual treatment effects, the … standard IV estimator can be inconsistent and lead to incorrect inference. After showing identification of the mean and …
Persistent link: https://www.econbiz.de/10012924564