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Short run and long run causality in time series : inference
Dufour, Jean-Marie (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001948010
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Evaluating value-at-risk models with desk-level data
Christoffersen, Peter F.; Berkowitz, Jeremy; Pelletier, … - 2009
Persistent link: https://www.econbiz.de/10003865687
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The reaction of exchange rates to economic news
Hakkio, Craig S.; Pearce, Douglas Kenneth - 1985
Persistent link: https://www.econbiz.de/10000700626
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Exchange rates and discount rate changes
Hakkio, Craig S.; Pearce, Douglas Kenneth - 1986
Persistent link: https://www.econbiz.de/10000723634
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Impulse response matching estimators for DSGE models
Guerron-quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - Vanderbilt University Department of Economics - 2014
One of the leading methods of estimating the structural parameters of DSGE mod- els is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...
Persistent link: https://www.econbiz.de/10011246096
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Impulse Response Matching Estimators for DSGE Models
Guerron-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2014
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...
Persistent link: https://www.econbiz.de/10011145457
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Impulse response matching estimators for DSGE models
Guerron-quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - Vanderbilt University Department of Economics - 2014
One of the leading methods of estimating the structural parameters of DSGE mod- els is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...
Persistent link: https://www.econbiz.de/10011213816
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Impulse response matching estimators for DSGE models
Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - Center for Financial Studies - 2014
One of the leading methods of estimating the structural parameters of DSGE mod- els is the VAR-based impulse response matching estimator. The existing asympotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...
Persistent link: https://www.econbiz.de/10011097611
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Impulse Response Matching Estimators for DSGE Models
Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - 2016
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...
Persistent link: https://www.econbiz.de/10011431276
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Information criteria for impulse response function matching estimation of DSGE models
Hall, Alastair; Inoue, Atsushi; Nason, James M.; Rossi, … - 2008
We propose a new information criterion for impulse response function matching estimators (IRFMEs) of the structural parameters of dynamic stochastic general equilibrium (DSGE) macroeconomic models. An advantage of our procedure is that it allows researchers to select the impulse responses that...
Persistent link: https://www.econbiz.de/10010292348