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Uhlig, Harald - Econometric Society - 2004

shocks in the context of a VAR model, which explain the majority of the k-step ahead prediction error variances in real GNP …

Persistent link: https://www.econbiz.de/10005699655

A VECM Model of Stockmarket Returns

Sreedharan, Nagaratnam J - Econometric Society - 2004

Observations of security prices and other financial time series usually include not only the close (C), but also an open, a high and a low (O,H,L) price for a specified interval. The multivariate vector of values (H,L,O,C) is obviously more informative than just the open or close (O, C) for...

Persistent link: https://www.econbiz.de/10005702551

Forecasting the Global Electronics Cycle with Leading Indicators: A VAR Approach

Choy, Keen Meng; Chow, Hwee Kwan - Econometric Society - 2004

constructing a VAR model that captures the economic interactions between leading indicators representing expectations, investments … causality tests. The VAR model is also used to derive the dynamic paths of adjustment of global chip sales in response to shocks … leading quality of the selected indicators. Finally, out-of-sample forecasts of global chip sales are generated from the VAR …

Persistent link: https://www.econbiz.de/10005063677

Testing Weak Exogeneity in Cointegrated System

Chiying, Hsiao; Pu, Chen - Econometric Society - 2004

This paper develops a limiting theory for Wald tests of weak exogeneity in error correction models (ECMs). It is well known that Wald statistics on cointegrated systems may involve nonstandard distribution and nuisance parameters, if $I(1)$ variables are not negligible in the statistics. To...

Persistent link: https://www.econbiz.de/10005086413

Estimating the Output Gap : A Kalman Filter Approach

Plantier, L. Christopher; Karagedikli, Ozer - Econometric Society - 2004

The output gap plays a crucial role in thinking of many inflation targeting central banks yet, the real time estimates of the output gap undergo substantial revisions as more data become available. In this paper, we use the state space framework to augment the simple Hodrick-Prescott filter with...

Persistent link: https://www.econbiz.de/10005702552

Cyclical components in economic time series: A Bayesian approach

Dijk, Herman K. van; Harvey, Andrew; Trimbur, Thomas - Econometric Society - 2004

Cyclical components in economic time series are analysed in a Bayesian framework, thereby allowing prior notions about periodicity to be used. The method is based on a general class of unobserved component models that allow relatively smooth cycles to be extracted. Posterior densities of...

Persistent link: https://www.econbiz.de/10005702586

Reaching Inflation Stability

Moreno, Antonio - Econometric Society - 2004

Inflation volatility has significantly declined over the last 20 years in the U.S. To find out why, I follow a structural approach. I estimate a complete New Keynesian model which imposes cross-equation restrictions on the time series of inflation, the output gap and the interest rate. I perform...

Persistent link: https://www.econbiz.de/10005702688

Does the Solow Residual for Korea Reflect Pure Technology Shocks?

Lim, Hyunjoon; Kim, Sangho - Econometric Society - 2004

This study investigates the relationship between the measured Solow residual and demand side variables for the Korean economy. The measured Solow residuals are shown to be Granger-caused by some demand side variables such as exports, M1, and government expenditure. A vector error correction...

Persistent link: https://www.econbiz.de/10005702722

Generalized Two-Step Maximum Likelihood Estimation of Structural Vector Autoregressive Models partially identified with Short-Run Restrictions

Jang, Kyungho - Econometric Society - 2004

This paper presents a generalized two-step maximum likelihood estimation method for partially identified vector autoregressive models. We suggest a likelihood ratio test for over-identification in a sub-system and derive the asymptotics for impulse responses and forecast-error variance...

Persistent link: https://www.econbiz.de/10005702745

Do Technology Shocks Drive Hours Up or Down?

Rossi, Barbara; Pesavento, Elena - Econometric Society - 2004

This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic procedure in which the researcher does not have to...

Persistent link: https://www.econbiz.de/10005342192