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A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time-invariance of the impact effects of the shocks. It is shown how that assumption can be tested when longrun restrictions are available for identifying structural shocks....
Persistent link: https://www.econbiz.de/10015207512
This paper examines the feasibility of implementing Linear Quadratic Gaussian (LQG) Control in structural cointegrated VAR models and sheds some light on the two major problems generated by such implementation. The first aspect to be taken into account is the effect of the presence of unit roots...
Persistent link: https://www.econbiz.de/10009635883
handling of cointegration restrictions. This paper extends the Bayesian analysis of structural VARs to cover cointegrated … processes with an arbitrary number of cointegrating relations and general linear restrictions on the cointegration space. A …
Persistent link: https://www.econbiz.de/10009636519
corresponding Gaussian likelihood ratio test for the cointegrating rank. -- Cointegration ; structural break ; vector autoregressive …
Persistent link: https://www.econbiz.de/10003376003
whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate … dimension tends to infinity. -- Cointegration ; trace statistic ; asymptotic moments ; uniform integrability …
Persistent link: https://www.econbiz.de/10003814491
Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes …. -- Cointegrated VAR ; unit root approximation ; economic theory models ; expectations ; hybrid new Keynesian Phillips curve ; general …
Persistent link: https://www.econbiz.de/10003785323
invoking the approach by Aoki (1981) commonly used in economic theory. Assuming country symmetry in the long-run allows to … decouple the two-country macro dynamics of country averages and country differences such that the cointegration analysis can be …
Persistent link: https://www.econbiz.de/10010228354
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...
Persistent link: https://www.econbiz.de/10010249640
We use a fractionally cointegrated vector autoregressive model to examine the relationship between Canadian political support and macroeconomic conditions. This model is well suited for the analysis because it allows multiple fractional time series and admits simple asymptotic inference for the...
Persistent link: https://www.econbiz.de/10010364647
Structural identification schemes are of essential importance to vector autoregressive (VAR) analysis. This paper tests a commonly used structural parameter identification scheme to assess whether it can properly capture fundamental and non-fundamental shocks to stock prices. In particular, five...
Persistent link: https://www.econbiz.de/10010229662