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Extended Yule-Walker Identification of VARMA Models with Single- or Mixed-Frequency Data
Zadrozny, Peter A. - 2016
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10012989633
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Structural Vector Autoregressions with Nonnormal Residuals
Lanne, Markku; Luetkepohl, Helmut - 2021
derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all …
Persistent link: https://www.econbiz.de/10013317658
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Aggregation in Large Dynamic Panels
Pesaran, M. Hashem - 2015
This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...
Persistent link: https://www.econbiz.de/10013038262
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Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
Pesaran, M. Hashem - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10013143234
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Identification of New Keynesian Phillips Curves from a Global Perspective
Dees, Stephane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2021
number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first …
Persistent link: https://www.econbiz.de/10013316577
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Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed : Re-Evaluating the Role of Monetary Policy in Economic Fluctuations
Baumeister, Christiane - 2018
Reporting point estimates and error bands for structural vector autoregressions that are only set identified is a very common practice. However, unless the researcher is persuaded on the basis of prior information that some parameter values are more plausible than others, this common practice...
Persistent link: https://www.econbiz.de/10012915503
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International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries : Some Panel Evidence
Caporale, Guglielmo Maria - 2009
The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...
Persistent link: https://www.econbiz.de/10013155428
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Stock Market Integration in Asia : Global or Regional? Evidence from Industry Level Panel Convergence Tests
Caporale, Guglielmo Maria - 2017
(industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised … Telecommunication, both in a turn-around phase, and Gas & Oil and Technology, for which there is no panel convergence. Club convergence … tests reveal the existence of convergence clubs and divergent economies within the full panel, which explains why panel …
Persistent link: https://www.econbiz.de/10012953892
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Panel Cointegration Tests on the Fiscal Sustainability of German Laender
Burret, Heiko - 2014
by applying “second generation” panel cointegration techniques. A unique identification strategy for the selection of sub …‐panels improves the robustness of panel cointegration tests and reveals that Laender finances are hardly sustainable …
Persistent link: https://www.econbiz.de/10013047349
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Theory and Practice of GVAR Modeling
Chudik, Alexander - 2014
The Global Vector Autoregressive (GVAR) approach has proven to be a very useful approach to analyze interactions in the global macroeconomy and other data networks where both the cross-section and the time dimensions are large. This paper surveys the latest developments in the GVAR modeling,...
Persistent link: https://www.econbiz.de/10013052095