Three Essays on Identification in Structural Vector Autoregressive Models PDF Download
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Author: Robin Braun
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Languages : en
Pages : 0
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Author: Robin Braun
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Languages : en
Pages : 0
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Author: Dominik Bertsche
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Category :
Languages : en
Pages : 0
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Author: Kyungho Jang
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Category :
Languages : en
Pages : 214
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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: Alexander Lange
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Languages : en
Pages : 0
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Author: Maximilian Podstawski
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Category :
Languages : en
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Author: Christian Kascha
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Category : Econometrics
Languages : en
Pages : 97
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Author: Osman Kubilay Gursel
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Category :
Languages : en
Pages : 218
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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: George Athanasopoulos
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Category : Autoregression (Statistics)
Languages : en
Pages : 470
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Author: Francesco Cordoni
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Languages : en
Pages : 0
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We propose a statistical identification procedure for structural vector autoregressive (VAR) models that present a nonlinear dependence (at least) at the contemporaneous level. By applying and adapting results from the literature on causal discovery with continuous additive noise models to structural VAR analysis, we show that a large class of structural VAR models is identifiable. We spell out these specific conditions and propose a scheme for the estimation of structural impulse response functions in a nonlinear setting. We assess the performance of this scheme in a simulation experiment. Finally, we apply it in a study on the effects of monetary policy on the economy.
Author: Juan J. Dolado
Publisher: Emerald Group Publishing
ISBN: 1803828315
Category : Business & Economics
Languages : en
Pages : 203
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Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.
