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Too Many Shocks Spoil the Interpretation
Pagan, Adrian R.; Robinson, Tim - 2020
We show that when a model has more shocks than observed variables the estimated filtered and smoothed shocks will be correlated. This is despite no correlation being present in the data generating process. Additionally the estimated shock innovations may be autocorrelated. These correlations...
Persistent link: https://www.econbiz.de/10014101173
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Recovering stars in macroeconomics
Buncic, Daniel; Pagan, Adrian R.; Robinson, Tim - 2023
Persistent link: https://www.econbiz.de/10014432242
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Recovering stars in macroeconomics
Buncic, Daniel; Pagan, Adrian R.; Robinson, Tim - 2023
Persistent link: https://www.econbiz.de/10014490398
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Too many shocks spoil the interpretation
Pagan, Adrian R.; Robinson, Tim - 2020
We show that when a model has more shocks than observed variables the estimated filtered and smoothed shocks will be correlated. This is despite no correlation being present in the data generating process. Additionally the estimated shock innovations may be autocorrelated. These correlations...
Persistent link: https://www.econbiz.de/10012320974
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Too many shocks spoil the interpretation
Pagan, Adrian R.; Robinson, Tim - 2020
Persistent link: https://www.econbiz.de/10012225079
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Excess shocks can limit the economic interpretation
Pagan, Adrian R.; Robinson, Tim - In: European economic review : EER 145 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013348921
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An unintended consequence of using "errors in variables shocks" in DSGE models?
Pagan, Adrian R. - 2016
Persistent link: https://www.econbiz.de/10011777175
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Shocking stories
Levtchenkova, S.; Pagan, Adrian R.; Robertson, John C. - In: Journal of economic surveys 12 (1998) 5, pp. 507-532
Persistent link: https://www.econbiz.de/10001400861
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Shocking stories
Levtchenkova, S.; Pagan, Adrian R.; Robertson, John C. - In: Practical issues in cointegration analysis, (pp. 91-116). 1999
Persistent link: https://www.econbiz.de/10001550926
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Some experiments in constructing a hybrid model for macroeconomic analysis
McKibbin, Warwick J.; Pagan, Adrian R.; Robertson, John C. - In: Carnegie Rochester conference series on public policy : … 49 (1998), pp. 113-142
Persistent link: https://www.econbiz.de/10001419380