for the skill premium from the CPS and use it to identify skill-biased technology shocks in a VAR with long run …

We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. A solution … shocks are orthogonal to the information set in the VAR model and can be interpreted as non-fundamental shocks. We attribute …

Some methods for the evaluation of parameter constancy in cointegrated vector autoregressive (VAR) models are discussed …. Two different ways of re-estimating the VAR-model are proposed; one in which all parameters are estimated recursively … the cointegrated VAR-model. All results are illustrated using a model for the term structure of interest rates on US …

between the measured and predicted number of 9-year-olds does exist, the VAR, VECM, and linear regression are used in … estimation of the goodness of fit and root mean-square errors, RMSE. The highest R2=0.95 and the best RMSE is obtained in the VAR …

help predicting euro area GDP. We investigate whether financial variables provide additional predictive power. We use a VAR … between 1999 and 2002. Results from the historical decomposition of a VAR model indeed suggest that in that period shocks were …

empirical relationship between US monetary policy and commodity prices by means of a standard VAR system, commonly used in …

-used probit approach, but the dynamics of regressors are endogenized using a VAR. The combined model is called a ‘ProbVAR’. At any …

between the measured and predicted number of 9-year-olds does exist, the VAR, VECM, and linear regression are used in … the VAR representation. The VECM provides consistent, statistically reliable, and significant estimates of the slope in …