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Wann sind falsche VaR-Modelle dennoch adäquat?

Härdle, Wolfgang (contributor); Hlávka, Z. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919168

Testing for the cointegrating rank of a VAR process with level shift at unknown time

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2001

A systems cointegration rank test is proposed which is applicable for vector autoregressive (VAR) processes with a … estimate the break date first on the basis of a full unrestricted VAR model. Two alternative estimators are considered and …

Persistent link: https://www.econbiz.de/10009614873

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model

Saikkonen, Pentti - 2001

This paper improves previous sufficient conditions for stationarity obtained in the context of a general nonlinear vector autoregressive model with nonlinear autoregressive conditional heteroskedasticity. The results are proved by using the stability theory developed for Markov chains....

Persistent link: https://www.econbiz.de/10009616775

Did the Fed surprise the markets in 2001? : a case study for VARs with sign restrictions

Uhlig, Harald - 2001

In 2001, the Fed has lowered interest rates in a series of cuts, starting from 6.5 % at the end of 2000 to 2.0 % by early November. This paper asks, whether the Federal Reserve Bank has been surprising the markets, taking as given the conventional view about the effect of monetary policy shocks....

Persistent link: https://www.econbiz.de/10009618362

Money and banks : some theory and empirical evidence for Germany

Holtemöller, Oliver - 2002

are compared to the properties of the estimated VAR. It turns out that both the money multiplier approach and the … presented model of the money-creating sector with endogenous money fail to explain all the empirical evidence from the VAR model …

Persistent link: https://www.econbiz.de/10009620766

Structural vector autoregressive models and monetary policy analysis

Holtemöller, Oliver - 2002

structure of the VAR residuals. Different approaches can be followed to serve this task. One approach is to use the Cholesky … latter technique in a simple monetary framework for both Germany and the Euro area. VAR/VECM residuals are interpreted as …

Persistent link: https://www.econbiz.de/10009620773

A parametric approach to the estimation of cointegration vectors in panel data

Breitung, Jörg - 2002

is based on a cointegrated VAR(p) model. A convenient two-step estimator is uggested where in the first step all …

Persistent link: https://www.econbiz.de/10009620776

On the small sample properties of weak exogeneity tests in cointegrated VAR models

Brüggemann, Ralf - 2002

We investigate the small sample properties of two types of weak exogeneity tests in cointegrated VAR models that are … test is based on mapping the cointegrated VAR model into VECM representation and then reducing the model using some model …

Persistent link: https://www.econbiz.de/10009620777

Local power of likelihood ratio tests for the cointegrating rank of a VAR process

Saikkonen, Pentti; Lütkepohl, Helmut - 1997

Likelihood ratio (LR) tests for the cointegrating rank of a vector autoregressive (VAR) process have been developed …

Persistent link: https://www.econbiz.de/10009659070

Trend adjustment prior to testing for the cointegrating rank of a VAR process

Saikkonen, Pentti; Lütkepohl, Helmut - 1997

Testing the cointegrating rank of a vector autoregressive process which may have a deterministic linear trend is considered. Previous proposals for dealing with such a situation are either to allow for a deterministic trend term in computing a suitable test statistic or else remove the linear...

Persistent link: https://www.econbiz.de/10009659627