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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 conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...
Persistent link: https://www.econbiz.de/10009583885
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Structural vector autoregressive models and monetary policy analysis
Holtemöller, Oliver - 2002
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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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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Sources of German unemployment : a structural vector error correction analysis
Brüggemann, Ralf - 2001
. We compare these results to results from a standard SVECM and find that, using the Subset VECM reduces estimation … parameter restrictions. A cointegration analysis for the unified Germany reveals a long rum relationship between real wages …, productivity and unemployment which is interpreted as a wage setting relation. From a Subset VECM we identify meaningful structural …
Persistent link: https://www.econbiz.de/10009613616
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Nonlinear error correction and the efficient market hypothesis : the case of German dual-class shares
Breitung, Jörg; Wulff, Christian - 1999
The efficient market hypothesis implies that asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting far away. An attractive model that reconciles these two conflicting facts is the nonlinear error correction...
Persistent link: https://www.econbiz.de/10009581105
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Fractional cointegration and tests of present value models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …
Persistent link: https://www.econbiz.de/10009582383
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Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
Benkwitz, Alexander; Lütkepohl, Helmut; Wolters, Jürgen - 1999
It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals are often not provided. If confidence intervals are...
Persistent link: https://www.econbiz.de/10009580485
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The transmission of German monetary policy in the pre-Euro period
Lütkepohl, Helmut; Wolters, Jürgen - 2001
rate and shows the interaction of the main variables of the monetary sector. -- Cointegration analysis ; impulse response …
Persistent link: https://www.econbiz.de/10009616780
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Was there a regime change in the German monetary transmission mechanism in 1983?
Candelon, Bertrand; Lütkepohl, Helmut - 2000
policy was satisfied. -- cointegration analysis ; monetary policy ; Markov regime switching analysis ; money demand ; vector …
Persistent link: https://www.econbiz.de/10009583433
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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