Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain …. To illustrate how these subset strategies can improve results from impulse response analysis, a VAR model is used to …

structure of the VAR residuals. Different approaches can be followed to serve this task. One approach is to use the Cholesky … possibility is to adopt restrictions from economic theory. The purpose of this paper is to investigate the implications of the … latter technique in a simple monetary framework for both Germany and the Euro area. VAR/VECM residuals are interpreted as …

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 …

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 …. -- monetary policy ; Endogenous money ; industrial organization approach to banking theory ; money multiplier ; vector error …

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 …