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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

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

A generalised stochastic volatility in mean VAR

Mumtaz, Haroon - 2018

This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the …

Persistent link: https://www.econbiz.de/10011812167

Gender based within-household inequality in immunization status of children: some evidence from South Asian countries

Konstantakis, Konstantinos N.; Michaelides, Panayotis G. - In: Economics Bulletin 35 (2015) 2, pp. 871-877

Using households with a pair of male-female siblings from DHS surveys, this paper estimates gender based within-household inequality in immunization status of children (aged 1-5 years) from Bangladesh, India, Nepal and Pakistan. I find substantial level of gender based within-household...

Persistent link: https://www.econbiz.de/10011249521

Macroeconomics of the New and the Used Car Markets

Prado, Sylvain M. - In: Economics Bulletin 30 (2010) 3, pp. 1862-1884

The new cars of today are used cars of tomorrow and some people assume a competition between new and used markets. There are numerous, preconceived ideas and academic theories regarding the interactions between primary and secondary markets. To investigate the relations, we provide a...

Persistent link: https://www.econbiz.de/10008596628