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Codependent VAR models and the pseudo-structural form

Trenkler, Carsten; Weber, Enzo - 2012

This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC models via the so …

Persistent link: https://www.econbiz.de/10011489949

Inference in VARs with conditional heteroskedasticity of unknown form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - 2014

We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional … heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance … parameter estimators and address bootstrap inference as well. Our results are important for correct inference on VAR statistics …

Persistent link: https://www.econbiz.de/10011490564

Productivity and firm dynamics over the business cycle

Assefa, Abraham; Lapitskaya, Darya; Uusküla, Lenno - 2022

Persistent link: https://www.econbiz.de/10013253091

Fiscal policy and stock prices in the United States

Mumtaz, Haroon; Theodoridis, Konstantinos - 2021

Persistent link: https://www.econbiz.de/10013186196

Economic theories and macroeconomic reality

Loria, Francesca; Matthes, Christian; Wang, Mu-Chun - 2021

Economic theories are often encoded in equilibrium models that cannot be directly estimated because they lack features that, while inessential to the theoretical mechanism that is central to the specific theory, would be essential to fit the data well. We propose an econometric approach that...

Persistent link: https://www.econbiz.de/10012792815

Are fiscal VAR's non-fundamentalness easily reversible through the addition of informative variables?

Vonbun, Christian; Lima, Elcyon Caiado Rocha - 2021

The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerstone of the … General Equilibrium) models – the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to …

Persistent link: https://www.econbiz.de/10012486165

Routine-biased technological change and hours worked over the business cycle

Bock, Sébastien; Fontaine, Idriss - 2020

Persistent link: https://www.econbiz.de/10012387105

A generalised stochastic volatility in mean VAR : an updated algorithm

Mumtaz, Haroon - 2020

In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …

Persistent link: https://www.econbiz.de/10012243290

Fiscal sustainability assessment for Suriname 1978-2017 : a fiscal reaction function approach

Mungroo, Albert; Tjon Kie Sim-Balker, Peggy - 2020

following econometric techniques OLS, VAR, TAR, GMM and VECM. The results showed a positive and significant, but weak …

Persistent link: https://www.econbiz.de/10012298406

Fiscal policy shocks and stock prices in the United States

Mumtaz, Haroon; Theodoridis, Konstantinos - 2017

This paper uses a range of structural VARs to show that the response of US stock prices to fiscal shocks changed in 1980. Over the period 1955-1980 an expansionary spending or revenue shock was associated with modestly higher stock prices. After 1980, along with a decline in the fiscal...

Persistent link: https://www.econbiz.de/10011627039