This paper proposes the evaluation of the New Keynesian Phillips Curve (NKPC) under a new learning mechanism where VAR … assumption is that agents’ perceived law of motion is a VAR whose parameters are updated by recursive least squares. Differently … the VAR as the information set increases. When the restrictions are not rejected agents learn under the restricted system …

a VAR process is used to derive restrictions, the system embodies explosive roots. Hence any test of the PV restrictions …

Johansen cointegration rank test based on a VAR representation, which is also proved to be an adequate one via a set of … are cointegrated in corresponding intervals. The VAR and vector error correction (VEC) models are estimated and provide …

performed a Granger-causality test, based on the Vector Autoregressive (VAR) model, in order to detect the causalities amongst …

(VAR) model to account for the issue of endogeneity of domestic credit with the foreign exchange interventions. In addition …

variety of specification tests and the Johansen cointegration rank test based on the VAR representation. Both approaches … considering the time lead and the existence of a cointegrating relation. VAR and VECM representations do not provide any …

growth of the USA. VAR methodology associated with Granger causality analyses are used to investigate the relations between …

2010:12. We compare the results of VAR and FAVAR model and the results showed that FAVAR model explains the effects of … monetary policy which are consistent with theory and better than VAR model. VAR model shows the existence of price puzzle and …