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Improved likelihood ratio tests for cointegration rank in the VAR model
Boswijk, Herman Peter; Jansson, Michael; Nielsen, … - 2012
Persistent link: https://www.econbiz.de/10010191001
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Evidence on a real business cycle model with neutral and investment-specific technology shocks using Bayesian model averaging
Strachan, Rodney W.; Dijk, Herman K. van - 2010
Persistent link: https://www.econbiz.de/10003974036
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Evidence on a real business cycle model with neutral and investment-specific technology shocks using Bayesian model averaging
Strachan, Rodney W.; Dijk, Herman K. van - 2010 - Version 17 May 2010
) processes. The linear VAR model is extendedto permit cointegration, a range of deterministic processes, equilibrium restrictions …
Persistent link: https://www.econbiz.de/10011380727
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Robust inference for non-Gaussian SVAR models
Hoesch, Lukas; Lee, Adam; Mesters, Geert - 2022
All parameters in structural vector autoregressive (SVAR) models are locally identified when the structural shocks are independent and follow non-Gaussian distributions. Unfortunately, standard inference methods that exploit such features of the data for identification fail to yield correct...
Persistent link: https://www.econbiz.de/10013417421
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Optimal hedging with the Vector Autoregressive model
Gatarek, Lukasz; Johansen, Søren - 2014
with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite …
Persistent link: https://www.econbiz.de/10010244526
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Bayesian averaging over many dynamic model structures with evidence on the great ratios and liquidity trap risk
Strachan, Rodney W.; Dijk, Herman K. van - 2008
Persistent link: https://www.econbiz.de/10003774524
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Bayesian averaging over many dynamic model structures with evidence on the Great Ratios and liquidity trap risk
Strachan, Rodney W.; Dijk, Herman K. van - 2008
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10011377110
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Stability of the demand for real narrow money in Indonesia : evidence from the pre and post Asian crisis era
Anglingkusumo, Reza - 2005
Persistent link: https://www.econbiz.de/10002902073
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How to implement bootstrap hypothesis testing in static and dynamic regression models
Giersbergen, Noud P. van; Kiviet, Jan F. - 1994
Persistent link: https://www.econbiz.de/10000151691
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A k-sample homogeneity test based on the quantification of the p-p plot : the harmonic weighted mass index
Hinloopen, Jeroen; Wagenvoort, Rien; Marrewijk, Charles van - 2008
Persistent link: https://www.econbiz.de/10003787143