Narrow search
Showing 1 - 10 of 32,479
Cover Image
Business Cycle Analysis and VARMA Models
Kascha, Christian; Mertens, Karel - 2008
estimate vector autoregressive moving average (VARMA) and state space models, which are not misspecified, using simulated data … VARMA models. However, state space algorithms can outperform SVARs. In particular, the CCA subspace method consistently … used in the literature make identification via long-run restrictions difficult for any method. …
Persistent link: https://www.econbiz.de/10012143685
Cover Image
Macroeconomic forecasts and the nature of economic shocks in Germany
Döpke, Jörg - 2000
The paper investigates the sources of macroeconomic forecast errors in Germany. The predictions of the so-called "six leading" research institutes are analyzed. The forecast errors are discussed within an aggregate demand/supply scheme. Structural Vector Autoregressive Models are estimated to...
Persistent link: https://www.econbiz.de/10011476550
Cover Image
Macroeconomic Forecasts and the Nature of Economic Shocks in Germany
Döpke, Jörg - 2000
The paper investigates the sources of macroeconomic forecast errors in Germany. The predictions of the so-called "six leading" research institutes are analyzed. The forecast errors are discussed within an aggregate demand/supply scheme. Structural Vector Autoregressive Models are estimated to...
Persistent link: https://www.econbiz.de/10010260630
Cover Image
Macroeconomic Forecasts and the Nature of Economic Shocks in Germany
Döpke, Jörg - Institut für Weltwirtschaft (IfW) - 2000
The paper investigates the sources of macroeconomic forecast errors in Germany. The predictions of the so-called "six leading" research institutes are analyzed. The forecast errors are discussed within an aggregate demand/supply scheme. Structural Vector Autoregressive Models are estimated to...
Persistent link: https://www.econbiz.de/10005755268
Cover Image
On the identification of multivariate correlated unobserved components models
Trenkler, Carsten; Weber, Enzo - 2015
This paper analyses identification for multivariate unobserved components models in which the innovations to trend and … cycle are correlated. We address order and rank criteria as well as potential non-uniqueness of the reduced-form VARMA model …. Identification is shown for lag lengths larger than one in case of a diagonal vector autoregressive cycle. We also discuss UC models …
Persistent link: https://www.econbiz.de/10011441877
Cover Image
On the identification of multivariate correlated unobserved components models
Trenkler, Carsten; Weber, Enzo - 2015
This paper analyses identification for multivariate unobserved components models in which the innovations to trend and … cycle are correlated. We address order and rank criteria as well as potential non-uniqueness of the reduced-form VARMA model …. Identification is shown for lag lengths larger than one in case of a diagonal vector autoregressive cycle. We also discuss UC models …
Persistent link: https://www.econbiz.de/10011491916
Cover Image
Graphical models for structural vector autoregressions
Moneta, Alessio - 2005
The identification of a VAR requires differentiating between correlation and causation. This paper presents a method to …
Persistent link: https://www.econbiz.de/10010328494
Cover Image
Graphical models for structural vector autoregressions
Moneta, Alessio (contributor) - 2005 - [Elektronische Ressource]
The identification of a VAR requires differentiating between correlation and causation. This paper presents a method to …
Persistent link: https://www.econbiz.de/10002133841
Cover Image
Monetary policy misspecification in VAR models
Canova, Fabio; Pina, Joaquim Pires - Department of Economics and Business, Universitat … - 1998
We examine the effects of extracting monetary policy disturbances with semi-structural and structural VARs, using data generated by a limited participation model under partial accommodative and feedback rules. We find that, in general, misspecification is substantial: short run coefficients...
Persistent link: https://www.econbiz.de/10005704978
Cover Image
Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models
Shephard, Neil; Flury, Thomas - Department of Economics, Oxford University - 2008
Suppose we wish to carry out likelihood based inference but we solely have an unbiased simulation based estimator of the likelihood.  We note that unbiasedness is enough when the estimated likelihood is used inside a Metropolis-Hastings algorithm.  This result has recently been introduced in...
Persistent link: https://www.econbiz.de/10005047860