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Author: Anders Warne
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This note examines the asymptotic properties of the Wald statistic in vector autoregressions (VAR) that may have unit roots. Within this framework we extend the theoretical results to nonlinear restrictions. As an example we study constraints derived from linear(ized) rational expectations models focusing on the expectations hypothesis using U.S. term structure data. For such cross-equation restrictions the statistic has a nonstandard distribution because the restrictions constrain the row space of the total impact matrix of the VAR. A Monte Carlo study is performed, and we find that the test statistic is somewhat oversized in small samples.
Author: Anders Warne
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This note examines the asymptotic properties of the Wald statistic in vector autoregressions (VAR) that may have unit roots. Within this framework we extend the theoretical results to nonlinear restrictions. As an example we study constraints derived from linear(ized) rational expectations models focusing on the expectations hypothesis using U.S. term structure data. For such cross-equation restrictions the statistic has a nonstandard distribution because the restrictions constrain the row space of the total impact matrix of the VAR. A Monte Carlo study is performed, and we find that the test statistic is somewhat oversized in small samples.
Author: Anders Warne
Publisher:
ISBN:
Category :
Languages : en
Pages : 64
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Book Description
Author: Søren Johansen
Publisher: Oxford University Press on Demand
ISBN: 9780198774501
Category : Business & Economics
Languages : en
Pages : 267
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Book Description
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: Alessandra Canepa
Publisher: LAP Lambert Academic Publishing
ISBN: 9783838314693
Category :
Languages : en
Pages : 172
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Book Description
Obtaining reliable inference procedures is one of the main challenges of econometric research. Test statistics are usually based on applications of the central limit theorem. However, in order to work well the first order asymptotic approximation requires that the asymptotic distribution is an accurate approximation to the finite sample distribution. When dealing with time series models, this is not generally the case. In this book we investigate the small sample performance of various bootstrap based inference procedures when applied to vector autoregressive models. Special attention is given to Johansen s maximum likelihood method for conducting inference on cointegrated VAR models. Throughout the book, empirical applications are provided to illustrate the bootstrap method and its applications. The analysis should provide some guidance to practitioners in doubt about which inference procedure to use when dealing with cointegrated VAR models.
Author: Katarina Juselius
Publisher: OUP Oxford
ISBN: 0191622966
Category : Business & Economics
Languages : en
Pages : 478
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Book Description
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Author: Søren Johansen
Publisher: Oxford University Press, USA
ISBN: 0198774508
Category : Business & Economics
Languages : en
Pages : 280
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Book Description
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: Marie-Christine Martine Denise Sheldon
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: P. Paruolo
Publisher:
ISBN:
Category :
Languages : en
Pages : 27
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Author: Soren Johansen
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Marie Sheldon
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 31
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Book Description
