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Author : Helmut Lütkepohl
Publisher :
Page : pages
File Size : 26,59 MB
Release : 2005
Category :
ISBN :
Author : Lutz Kilian
Publisher : Cambridge University Press
Page : 757 pages
File Size : 26,31 MB
Release : 2017-11-23
Category : Business & Economics
ISBN : 1107196574
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Author : Lance A. Fisher
Publisher :
Page : 0 pages
File Size : 42,20 MB
Release : 2013
Category :
ISBN :
In a structural vector-error correction (VEC) model, it is possible to decompose the shocks into those with permanent and transitory effects on the levels of the variables. Pagan and Pesaran derive the restrictions which the permanent-transitory decomposition of the shocks imposes on the structural VEC model. This paper shows that these restrictions are equivalent to a set of restrictions that are applied in the methods of Gonzalo and Ng and King et al. (KPSW). Using this result, it is shown that the Pagan and Pesaran method can be used to recover the structural shocks with permanent effects identically to those from the Gonzalo and Ng and KPSW methods. In the former case, this is illustrated in the context of Lettau and Ludvigson's consumption model and in the latter case in KPSW's six variable model. There are also two other methods for which the Pagan and Pesaran approach can deliver identical permanent shocks which are also discussed.
Author : Søren Johansen
Publisher : Oxford University Press, USA
Page : 280 pages
File Size : 32,20 MB
Release : 1995
Category : Business & Economics
ISBN : 0198774508
This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Author : Kyungho Jang
Publisher :
Page : 214 pages
File Size : 41,7 MB
Release : 2002
Category :
ISBN :
Impulse response analysis requires the imposition of restrictions on the estimated system in order to identify a shock. Short-run restrictions such that monetary policy does not contemporaneously affect real Gross Domestic Production have been often used. Many economic models, however, imply long-run relations among economic variables (or long-run restrictions such that monetary policy does not affect output in the long period) rather than short-run restrictions. Therefore, empirical results based on long-run restrictions may be more consistent with economic theory than those based on short-run restrictions.
Author : Vladik Kreinovich
Publisher : Springer
Page : 776 pages
File Size : 37,39 MB
Release : 2018-11-24
Category : Technology & Engineering
ISBN : 3030042634
This book focuses on structural changes and economic modeling. It presents papers describing how to model structural changes, as well as those introducing improvements to the existing before-structural-changes models, making it easier to later on combine these models with techniques describing structural changes. The book also includes related theoretical developments and practical applications of the resulting techniques to economic problems. Most traditional mathematical models of economic processes describe how the corresponding quantities change with time. However, in addition to such relatively smooth numerical changes, economical phenomena often undergo more drastic structural change. Describing such structural changes is not easy, but it is vital if we want to have a more adequate description of economic phenomena – and thus, more accurate and more reliable predictions and a better understanding on how best to influence the economic situation.
Author : Olaf Hübler
Publisher : Springer Science & Business Media
Page : 236 pages
File Size : 49,46 MB
Release : 2007-04-29
Category : Business & Economics
ISBN : 3540326936
In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.
Author : Helmut Lütkepohl
Publisher : Cambridge University Press
Page : 351 pages
File Size : 14,76 MB
Release : 2004-08-02
Category : Business & Economics
ISBN : 1139454730
Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
Author : Jean-Pierre Urbain
Publisher : Springer Science & Business Media
Page : 201 pages
File Size : 13,10 MB
Release : 2012-12-06
Category : Business & Economics
ISBN : 3642957064
In the recent years, the study of cointegrated time series and the use of error correction models have become extremely popular in the econometric literature. This book provides an analysis of the notion of (weak) exogeneity, which is necessary to sustain valid inference in sub-systems, inthe framework of error correction models (ECMs). In many practical situations, the applied econometrician wants to introduce "structure" on his/her model in order to get economically meaningful coefficients. For thispurpose, ECMs in structural form provide an appealing framework, allowing the researcher to introduce (theoretically motivated) identification restrictions on the long run relationships. In this case, the validity of the inference will depend on a number of conditions which are investigated here. In particular,we point out that orthogonality tests, often used to test for weak exogeneity or for general misspecification, behave poorly in finite samples and are often not very useful in cointegrated systems.
Author : Anthony Garratt
Publisher : Oxford University Press (UK)
Page : 402 pages
File Size : 25,29 MB
Release : 2012-03-15
Category : Business & Economics
ISBN : 0199650462
Providing a description of the state of modelling in global and national economies, this title introduces an approach to modelling that can readily be adopted for use in understanding how economies work and in generating forecasts for decision-makers and policy-makers alike.