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A topological view on the identification of structural vector autoregressions
Neusser, Klaus - 2016
The notion of the group of orthogonal matrices acting on the set of all feasible identification schemes is used to … characterize the identification problem arising in structural vector autoregressions. This approach presents several conceptual … uninformative prior. Second, it allows to derive the joint distribution of blocks of parameters defining an identification scheme …
Persistent link: https://www.econbiz.de/10011441989
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A topological view on the identification of structural vector autoregressions
Neusser, Klaus - In: Economics letters 144 (2016), pp. 107-111
Persistent link: https://www.econbiz.de/10011617228
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On the identification of fractionally cointegrated VAR models with the F(d) condition
Magistris, Paolo Santucci de; Carlini, Federico - School of Economics and Management, University of Aarhus - 2014
This paper discusses identification problems in the fractionally cointegrated system of Johansen (2008) and Johansen … for the identification of the fractional parameters of the system is provided. The condition is named F(d) and it is a …
Persistent link: https://www.econbiz.de/10011019688
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Testing for near I(2) trends when the signal to noise ratio is small
Juselius, Katarina - 2014
Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test we frequently find double unit roots in the data. Our...
Persistent link: https://www.econbiz.de/10010332060
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Testing for near I(2) trends when the signal-to-noise ratio is small
Juselius, Katarina - In: Economics: The Open-Access, Open-Assessment E-Journal 8 (2014) 2014-21, pp. 1-30
Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test they frequently find double unit roots in the data. The...
Persistent link: https://www.econbiz.de/10010368461
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Testing for near I(2) trends when the signal-to-noise ratio is small
Jusélius, Katarina - 2014
Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test they frequently find double unit roots in the data. The...
Persistent link: https://www.econbiz.de/10010355373
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Testing for near I(2) trends when the signal to noise ratio is small
Jusélius, Katarina - 2014
Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test we frequently find double unit roots in the data. Our...
Persistent link: https://www.econbiz.de/10010240618
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Testing for near I(2) trends when the signal-to-noise ratio is small
Juselius, Katarina - In: Economics - The Open-Access, Open-Assessment E-Journal 8 (2014), pp. 1-30
Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test they frequently find double unit roots in the data. The...
Persistent link: https://www.econbiz.de/10010954788
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Testing for near I(2) trends when the signal to noise ratio is small
Juselius, Katarina - Institut für Weltwirtschaft (IfW) - 2014
Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test we frequently find double unit roots in the data. Our...
Persistent link: https://www.econbiz.de/10010956111
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Housing demand shocks, foreign labour inflows and consumption
Gatt, William; Ruisi, Germano - 2020
In this paper we propose a SVAR identification strategy to disentangle two housing demand shocks and their ensuing …
Persistent link: https://www.econbiz.de/10012603343