The problem of multicollinearity in the assessments of coefficients is well established. However, it is rarely researched in the estimations of macroeconomic variables and economic performance of developing countries. Predicatively, it has impacts on the estimations of coefficients that should...

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...

Many questions of economic interest in structural VAR analysis involve estimates of multiple impulse response functions. Other questions relate to the shape of a given impulse response function. Answering these questions requires joint inference about sets of structural impulse responses,...

Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we show that Sequential Monte Carlo (SMC)...

We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...

Indirect inference testing can be carried out with a variety of auxiliary models. Asymptotically these different models make no difference. However, in small samples power can differ. We explore small sample power with three different auxiliary models: a VAR, average Impulse Response Functions...

In this paper, we establish the consistency of the model selection criterion based on the quasi‐marginal likelihood (QML) obtained from Laplace‐type estimators. We consider cases in which parameters are strongly identified, weakly identified and partially identified. Our Monte Carlo results...

This paper investigates the effect of the nonzero autocorrelation coefficients on the sampling distributions of the Durbin-Watson test estimator in three time-series models that have different variance-covariance matrix assumption, separately. We show that the expected values and variances of...