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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 … 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 …
Persistent link: https://www.econbiz.de/10009620773
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Lag selection in subset VAR models with an application to a US monetary system
Brüggemann, Ralf; Lütkepohl, Helmut - 2000
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 …
Persistent link: https://www.econbiz.de/10009583885
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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
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Sticky information vs. sticky prices : a horse race in a DSGE framework
Trabandt, Mathias (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001916974
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Testing for the cointegrating rank of a VAR process with an intercept
Saikkonen, Pentti; Lütkepohl, Helmut - 1998
Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius and others we also consider an alternative class of tests which is based on estimating the trend parameters of the...
Persistent link: https://www.econbiz.de/10009578014
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Testing for the cointegrating rank of a VAR process with structural shifts
Saikkonen, Pentti; Lütkepohl, Helmut - 2001
Tests for the cointegrating rank of a vector autoregressive process are considered which allow for possible exogenous shifts in the mean of the data generation process. The break points are assumed to be known a priori. It is proposed to estimate and remove the deterministic terms such as mean,...
Persistent link: https://www.econbiz.de/10009578552
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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
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Order selection in testing for the cointegrating rank of a VAR process
Lütkepohl, Helmut; Saikkonen, Pentti - 1997
autoregressive (VAR) process is investigated. It is shown that the asymptotic distribution of likelihood ratio (LR) tests for the … criterion is used for choosing the lag length. A similar result also holds if the true DGP is an in finite order VAR. In a …
Persistent link: https://www.econbiz.de/10009660377
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Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model
Saikkonen, Pentti - 2001
stability theory developed for Markov chains. Stationarity, existence of second moments of the stationary distribution, and …
Persistent link: https://www.econbiz.de/10009616775
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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