Different local projection (LP) estimators for structural impulse responses of proxy vector autoregressions are reviewed and compared algebraically and with respect to their small sample suitability for inference. Conditions for numerical equivalence and similarities of some estimators are...

Different local projection (LP) estimators for structural impulse responses of proxy vector autoregressions are reviewed and compared algebraically andwith respect to their small sample suitability for inference. Conditions for numerical equivalence and similarities of some estimators are...

1. Introduction -- I. Finite Order Vector Autoregressive Processes -- 2. Stable Vector Autoregressive Processes -- 3. Estimation of Vector Autoregressive Processes -- 4. VAR Order Selection and Checking the Model Adequacy -- 5. VAR Processes with Parameter Constraints -- II. Infinite Order...

The volume gives an overview of money demand analysis in Europe in the eve of the introduction of the Euro in some European countries. It contributes to the discussion on a suitable monetary policy for the new European Central Bank. The alternative strategies under discussion are a direct...

1. Prologue -- 1.1 Objective of the Study -- 1.2 Survey of the Study -- 2. Vector Stochastic Processes -- 2.1 Discrete-Time, Stationary Vector Stochastic Processes -- 2.2 Nonstationary Processes -- 2.3 Vector Autoregressive Moving Average Processes -- 2.4 Estimation -- 2.5 Model Specification --...

Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are time-varying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed, time-invariant aggregation weights. In this study a...

Given the growing dissatisfaction with exclusion and long-run restrictions in structural vector autoregressive analysis, sign restrictions are becoming increasingly popular. So far there are no techniques for validating the shocks identified via such restrictions. Although in an ideal setting...

For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the...

This paper investigates whether using natural logarithms (logs) of price indices for forecasting inflation rates is preferable to employing the original series. Univariate forecasts for annual inflation rates for a number of European countries and the USA based on monthly seasonal consumer price...

In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance, assuming known dates for variance changes is often...