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Identification and estimation of non-Gaussian structural vector autoregressions
Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - School of Economics and Management, University of Aarhus - 2015
Conventional structural vector autoregressive (SVAR) models with Gaussian errors are not identified, and additional identifying restrictions are typically imposed in applied work. We show that the Gaussian case is an exception in that a SVAR model whose error vector consists of independent...
Persistent link: https://www.econbiz.de/10011272281
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Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A.M. Robert - School of Economics and Management, University of Aarhus - 2012
In a recent paper Cavaliere et al. (2012) develop bootstrap implementations of the (pseudo-) likelihood ratio [PLR] co …-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed …. They propose methods based on an i.i.d. bootstrap re-sampling scheme and establish the validity of their proposed bootstrap …
Persistent link: https://www.econbiz.de/10010851226
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A Bootstrap Cointegration Rank Test for Panels of VAR Models
Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2010
bootstrap based procedure is used to compute empirical distributions of the trace test statistics for these individual models …
Persistent link: https://www.econbiz.de/10008752898
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Bias-correction in vector autoregressive models: A simulation study
Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2011
standard but also more computer intensive bootstrap bias-correction method, both in terms of bias and mean squared error. Both …
Persistent link: https://www.econbiz.de/10009018134
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An analysis of the indicator saturation estimator as a robust regression estimator
Johansen, Søren; Nielsen, Bent - School of Economics and Management, University of Aarhus - 2008
An algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, is analyzed with the purpose of finding an estimator that is robust to outliers and structural breaks. This estimator is an example of a one-step M-estimator based on Huber's skip...
Persistent link: https://www.econbiz.de/10005787553
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Bagging Weak Predictors
Lukas, Manuel; Hillebrand, Eric - School of Economics and Management, University of Aarhus - 2014
Relations between economic variables can often not be exploited for forecasting, suggesting that predictors are weak in the sense that estimation uncertainty is larger than bias from ignoring the relation. In this paper, we propose a novel bagging predictor designed for such weak predictor...
Persistent link: https://www.econbiz.de/10010851188
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Multivariate Variance Targeting in the BEKK-GARCH Model
Pedersen, Rasmus Søndergaard; Rahbek, Anders - School of Economics and Management, University of Aarhus - 2012
This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By defi?nition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modifi?ed likelihood function, or estimating function, corresponding to...
Persistent link: https://www.econbiz.de/10010851199
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Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - School of Economics and Management, University of Aarhus - 2014
We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...
Persistent link: https://www.econbiz.de/10010851206
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Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis
Holt, Matthew T.; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2012
This paper examines trends in annual temperature data for the northern and southern hemisphere (1850-2010) by using variants of the shifting-mean autoregressive (SM-AR) model of González and Teräsvirta (2008). Univariate models are first fitted to each series by using the so called QuickShift...
Persistent link: https://www.econbiz.de/10010851222
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Housing market volatility in the OECD area: Evidence from VAR based return decompositions
Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2013
Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash ?ow (rent) news and discount rate (return) news. Only for two countries - Germany and Ireland - do changing expectations of future rents play a dominating role in explaining housing return...
Persistent link: https://www.econbiz.de/10010851224