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Persistent link: https://www.econbiz.de/10013260145
This paper investigates the finite sample properties of confidence intervals for structural vector error correction models (SVECMs) with long-run identifying restrictions on the impulse response functions. The simulation study compares methods that are frequently used in applied SVECM studies...
Persistent link: https://www.econbiz.de/10010263627
-specific data sets, cointegration analyses are carried out both to identify long-run economic relationships and to remove the trend …
Persistent link: https://www.econbiz.de/10010295784
Fiscal sustainability is a central topic for most of the transition economics of Eastern Europe. This paper focuses on a particular country : Poland. The main purpose is to investigate, empirically, whether the post-transition fiscal policy is consistent with the intertemporal budget constraint,...
Persistent link: https://www.econbiz.de/10004984862
perform the preliminary unit roots analysis and the selection of the cointegration rank using parametric and bootstrap …
Persistent link: https://www.econbiz.de/10005043105
-specific data sets, cointegration analyses are carried out both to identify long-run economic relationships and to remove the trend …
Persistent link: https://www.econbiz.de/10005083307
This paper investigates the finite sample properties of confidence intervals for structural vector error correction models (SVECMs) with long-run identifying restrictions on the impulse response functions. The simulation study compares methods that are frequently used in applied SVECM studies...
Persistent link: https://www.econbiz.de/10005677903
confidence interval of the transitory component in agiven period (e.g. the latest observation) by conditioning on the observed …
Persistent link: https://www.econbiz.de/10009530402
interval of the transitory component estimate in a given period (e.g. the latest observation) by conditioning on the observed …
Persistent link: https://www.econbiz.de/10010489880
some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we … significantly improve upon the small sample performance of the bootstrap co-integration rank tests. A brief application of the …
Persistent link: https://www.econbiz.de/10011490238