Conditional and Structural Error Correction Models PDF Download
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Author: Neil R. Ericsson
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 28
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Author: Neil R. Ericsson
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 28
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Book Description
Author: Jaebeom Kim
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 48
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Author: M. Hashem Pesaran
Publisher:
ISBN:
Category : Economics, Mathematical
Languages : en
Pages : 25
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Author: Jean-Pierre Urbain
Publisher: Springer Science & Business Media
ISBN: 3642957064
Category : Business & Economics
Languages : en
Pages : 201
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Book Description
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: Herman Peter Boswijk
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
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Author: Samuel Karlin
Publisher: Academic Press
ISBN: 1483268039
Category : Business & Economics
Languages : en
Pages : 591
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Book Description
Studies in Econometrics, Time Series, and Multivariate Statistics covers the theoretical and practical aspects of econometrics, social sciences, time series, and multivariate statistics. This book is organized into three parts encompassing 28 chapters. Part I contains studies on logit model, normal discriminant analysis, maximum likelihood estimation, abnormal selection bias, and regression analysis with a categorized explanatory variable. This part also deals with prediction-based tests for misspecification in nonlinear simultaneous systems and the identification in models with autoregressive errors. Part II highlights studies in time series, including time series analysis of error-correction models, time series model identification, linear random fields, segmentation of time series, and some basic asymptotic theory for linear processes in time series analysis. Part III contains papers on optimality properties in discrete multivariate analysis, Anderson's probability inequality, and asymptotic distributions of test statistics. This part also presents the comparison of measures, multivariate majorization, and of experiments for some multivariate normal situations. Studies on Bayes procedures for combining independent F tests and the limit theorems on high dimensional spheres and Stiefel manifolds are included. This book will prove useful to statisticians, mathematicians, and advance mathematics students.
Author: Colin Tissen
Publisher: GRIN Verlag
ISBN: 3668548625
Category : Mathematics
Languages : en
Pages : 24
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Research Paper (undergraduate) from the year 2017 in the subject Mathematics - Applied Mathematics, grade: 8.5, , course: Empirical Econometrics II, language: English, abstract: This paper investigates the effects of monetary policy in the US by comparing a system of equations – estimated from a VECM (vector error correction model) – to a SVAR (structural autoregressive) model. Vector error-correction models are used when there exists long-run equilibrium relation-ships between non-stationary data integrated of the same order. Those models imply that the stationary transformations of the variables adapt to disequilibria between the non-stationary variables in the model. In contrast, SVAR models focus on the contemporaneous interdependence between the variables. The authors apply these two methods on a model with a contractionary monetary policy which affects the short-term interest rate. Following Sims and Zha the authors use a shock to the Treasury Bill rate instead of a shock to the Federal Funds rate. The paper continues as follows. First, a description of the data is given. Secondly, it presents a system of equations built from the LSE approach, aiming at macroeconomic simulations. Thirdly, it compares results obtained from the previous part to those obtained using SVAR impulse response functions (IRFs) identified with sign restrictions. The paper focuses on the impact of the simulated policies or monetary shocks on GDP and its growth rate.
Author: Soren Johansen
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
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Book Description
The error correction model for a vector valued time series has been proposed and applied in the economic literature with the papers by Sargan (1964), Davidson et al. (1978), Hendry and von Ungern-Sternberg (1981) and has been given a formal mathematical treatment by Granger (1983). He introduced the notion of cointegratedness of a vector process and showed the relation between cointegration and error correction models. This paper defines a general error correction model, that encompasses the usual error correction model as well as the integral correction model by allowing a finite number of error correction terms which correspond to linear combinations of the vector process that are integrated of different order. It is shown that this structure is inherent in the model if it is given in autoregressive form or moving average form by exploiting the singularity of the matrix function that defines the model. The theory is applied to some examples discussed by Davidson (1983) and Harvey (1982). (Author).
Author: Herman Peter Boswijk
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Author: Helmut Lütkepohl
Publisher:
ISBN:
Category :
Languages : en
Pages :
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