Structural Vector Autoregressions : Checking Identifying Long-run Restrictions Via Heteroskedasticity PDF Download
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Author: Helmut Lütkepohl
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Helmut Lütkepohl
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Lutz Kilian
Publisher: Cambridge University Press
ISBN: 1107196574
Category : Business & Economics
Languages : en
Pages : 757
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This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Author: Lutz Kilian
Publisher: Cambridge University Press
ISBN: 1108195288
Category : Business & Economics
Languages : en
Pages : 758
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Book Description
Structural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This book not only reviews the many alternative structural VAR approaches discussed in the literature, but also highlights their pros and cons in practice. It provides guidance to empirical researchers as to the most appropriate modeling choices, methods of estimating, and evaluating structural VAR models. The book traces the evolution of the structural VAR methodology and contrasts it with other common methodologies, including dynamic stochastic general equilibrium (DSGE) models. It is intended as a bridge between the often quite technical econometric literature on structural VAR modeling and the needs of empirical researchers. The focus is not on providing the most rigorous theoretical arguments, but on enhancing the reader's understanding of the methods in question and their assumptions. Empirical examples are provided for illustration.
Author: Helmut Lütkepohl
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Guido Turnip
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Various identifying restrictions commonly used in small open economy structural vector autoregression (SVAR) models are tested against an SVAR model identified via Markov-switching heteroskedasticity. The SVARs are estimated for three small open economies, Australia, Canada and New Zealand. The most supported model is the one that allows for simultaneity between monetary policy and the real exchange rate without restricting the long-run response of the real exchange rate to a monetary policy shock. The impulse responses to a monetary policy shock and an exchange rate shock identified from such model are consistent with theoretical predictions.
Author: Anton Velinov
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
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Structural identification schemes are of essential importance to vector autoregressive (VAR) analysis. This paper tests a commonly used structural parameter identification scheme to assess whether it can properly capture fundamental and non-fundamental shocks to stock prices. In particular, five related structural models, which are widely used in the literature on assessing stock price determinants are considered. They are either specified in vector error correction (VEC) or in VAR form. Restrictions on the long-run effects matrix are used to identify the structural parameters. These identifying restrictions are tested by means of a Markov switching in heteroskedasticity model. It is found that for two of the five models considered, the long-run identification scheme appropriately classifies shocks as being either fundamental or non-fundamental. A series of robustness tests are performed, which largely confirm the initial findings.
Author: Sławomir I. Bukowski
Publisher: Routledge
ISBN: 1000373282
Category : Business & Economics
Languages : en
Pages : 269
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Book Description
The success of an economy to adapt quickly, flexibly, and effectively to the demands of the changing international economic environment can only be investigated using the achievements of other national economies or regions as a benchmark. This book analyzes the fundamental factors of competitiveness, which will, in turn, facilitate economic development and growth, in the new post-crisis environment. In the economic, social, legal, and technological environment that has emerged in recent years, as well as in the period after the recent financial crisis, it is critical to define, assess, and implement new pathways to competitiveness and economic development. The book covers all aspects of competitiveness and economic growth, from financial intermediaries to tourism and the digital economy, and from regulation and corporate governance to exchange rate dynamics and monetary policy issues. It uses empirical findings from a variety of different countries with divergent economic structures and policies. It examines the new system of production, and the technological, commercial, financial and institutional environment, with the aim of recommending a proportional division of benefits and costs of economic growth. It offers a fresh, holistic, and flexible concept to underscore the new relationship between competitiveness and economic growth. Such an approach is needed, whereby competitiveness is no longer a zero-sum game between countries, but is achievable for all countries. The book recommends future directions and offers policy solutions, and as such, will appeal to students, researchers, and policymakers, as well as those interested in the role of competitiveness in the operation of markets, productivity, and economic development, and how it might foster innovation and growth.
Author: Osman Kubilay Gursel
Publisher:
ISBN:
Category :
Languages : en
Pages : 218
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Book Description
In the first chapter the performance of two of the long memory tests, the Modified Rescaled Range Test and Geweke and Porter-Hudak Test for persistence in small samples is examined using Monte-Carlo methods. Some possible candidates for persistence in volatility are Autoregressive Conditional Heteroskedasticity (ARCH), Markov Regime Switching ARCH, and long memory. The long memory series are simulated through a Semi-Markov process with Pareto waiting times and lognormal realizations. The persistence in volatility arising from transition waiting probabilities for a Markov Regime Switching process, and from the tail index of the waiting time distribution for the Semi-Markov process is established through simulations with different parameter values. There is evidence that persistence in a regime switching process is closely linked to state transition probabilities and waiting times. The second chapter re-examines what structural vector autoregressive modeling of real exchange rates with differenced variables tells us about interesting macroeconomic questions. Using quarterly data from G-7 countries in the post Bretton-Woods period, the evidence suggests that shock identification is not an easy process in a Blanchard and Quah decomposition framework with long run restrictions. Confidence bands do not find significant impulse responses and the signs of the estimated impulse responses are very sensitive to the lag selection criteria adopted. Possible cointegration effects seem to be the main driving force behind the unsatisfactory performance of the structural approach. Chapter three extends the structural vector autoregression model by incorporating cointegration effects. Using the method of Warne (1993), in a simple four-variable vector autoregression (VAR) characterized by cointegration, the response of real exchange rates to various economic shocks are investigated with economically plausible long-run restrictions. The long-run relations and driving stochastic trends of the real exchange rate between United States and other G-7 countries are analyzed in a structural cointegrated framework. Productivity shocks depreciate the real exchange rate and the perverse sign effect of supply shock is corrected for most countries in the sample. More significant impulse responses are observed through confidence intervals. The structural vector error correction decompositions are also found to be not robust to estimating with different lag lengths owing to additional cointegration effects.
Author: Nigar Hashimzade
Publisher: Edward Elgar Publishing
ISBN: 0857931024
Category : Business & Economics
Languages : en
Pages : 627
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Book Description
This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.
Author: Dmitry Kulikov
Publisher:
ISBN: 9789949493692
Category :
Languages : en
Pages :
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