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Classical identification: A viable road for data to inform structural modeling
Hammersland, Roger - 2008
superfluous information as auxiliary tools of exact identification. To illustrate the procedure and to study the simultaneous …
Persistent link: https://www.econbiz.de/10011968332
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The Financial Accelerator: Evidence using a procedure of Structural Model Design
Hammersland, Roger; Jacobsen, Dag Henning - 2008
We find empirical evidence of a financial accelerator using a data based procedure of Structural Model Design. Credit to firms, asset prices and aggregate economic activity interact over the business cycle in our empirical model of a dynamic economy. Furthermore, the interdependence between...
Persistent link: https://www.econbiz.de/10011968339
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Classical identification: A viable road for data to inform structural modeling
Hammersland, Roger - Statistisk Sentralbyrå, Government of Norway - 2008
superfluous information as auxiliary tools of exact identification. To illustrate the procedure and to study the simultaneous …
Persistent link: https://www.econbiz.de/10004980733
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The Financial Accelerator: Evidence using a procedure of Structural Model Design
Hammersland, Roger; Jacobsen, Dag Henning - Statistisk Sentralbyrå, Government of Norway - 2008
We find empirical evidence of a financial accelerator using a data based procedure of Structural Model Design. Credit to firms, asset prices and aggregate economic activity interact over the business cycle in our empirical model of a dynamic economy. Furthermore, the interdependence between...
Persistent link: https://www.econbiz.de/10004980837
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Mixed Frequency Structural VARs
Foroni, Claudia; Marcellino, Massimiliano - 2014
estimation can have serious consequences for identification, estimation and interpretation of the impulse response functions … bias, mitigate the identification issues, and yield more reliable responses to shocks. The problems and possible remedy are …
Persistent link: https://www.econbiz.de/10012143839
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Identifying shocks via time-varying volatility
Lewis, Daniel J. - 2018
process. I propose a new identification argument that identifies the SVAR up to shock orderings using the autocovariance … select among shock orderings; this selection does not impact inference asymptotically. The identification scheme performs …
Persistent link: https://www.econbiz.de/10012144714
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Identifying shocks via time-varying volatility
Lewis, Daniel J. - 2018
process. I propose a new identification argument that identifies the SVAR up to shock orderings using the autocovariance … select among shock orderings; this selection does not impact inference asymptotically. The identification scheme performs …
Persistent link: https://www.econbiz.de/10011926201
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Wage and price dynamics in Portugal
Robalo Marques, Carlos - 2008
This paper investigates the persistence of aggregate wages and prices in Portugal assuming a model of a unionized economy with imperfect competition. An impulse response analysis is conducted where the structural shocks are identified by taking into account the long-run properties of the model,...
Persistent link: https://www.econbiz.de/10011604991
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The dynamic effects of shocks to wages and prices in the United States and the euro area
Duarte, Rita; Marques, Carlos Robalo - 2009
This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural vector error-correction model, where the structural...
Persistent link: https://www.econbiz.de/10011605113
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Dynamic spillovers of oil price shocks and policy uncertainty
Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - 2014
Persistent link: https://www.econbiz.de/10010360804