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imposed if accepted. Alternatively, if one has less confidence in the short-run theory the dynamics can be left unrestricted … equilibrium values of the variables reflecting the long-run theory embodied in the model can be calculated. This approach has been …
Persistent link: https://www.econbiz.de/10012778617
This paper considers forecast averaging when the same model is used but estimation is carried out over different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. It is shown that compared to...
Persistent link: https://www.econbiz.de/10012714199
This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...
Persistent link: https://www.econbiz.de/10014219481