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On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables
Pagan, Adrian; Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2007
structural models in the general case where the model might contain more than one permanent structural shock. It provides a …-run restrictions than are needed because of a failure to fully utilize the cointegration information. …
Persistent link: https://www.econbiz.de/10005822651
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Macroeconometric modeling of the Russian and Armenian economy. I. Peculiarities of macroeconomic situation and theoretical description of dynamic models
Aivazian, Sergey; Brodsky, Boris; Sandoyan, Edward; … - In: Applied Econometrics 30 (2013) 2, pp. 3-25
sectors of the economy, and at the 2nd stage the econometric model of the national economy is created based upon cointegration …
Persistent link: https://www.econbiz.de/10010992083
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On the Role of Seasonal Intercepts in Seasonal Cointegration.
Franses, P.H.; Kunst, R.M. - Econometrisch Instituut, Faculteit der Economische … - 1998
In the paper we consider the role of seasonal intercepts in seasonal cointegration analysis. …
Persistent link: https://www.econbiz.de/10005207502
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Prior, Posterios and Bayes Factors for Bayesian Analysis of Cointegration.
Paap, R.; Kleibergen, F. - Econometrisch Instituut, Faculteit der Economische … - 1998
Cointegration occurs when the long run multiplier of a vector autoregressive model exhibits rank reduction. Priors and … posteriors of the parameters of the cointegration model are therefore proportional to priors and posteriors of the long run … product of the adjustment parameters and the cointegrating vectors, i.e. the cointegration specification, and a matrix that …
Persistent link: https://www.econbiz.de/10005660887
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The Japanese Economic Model: JEM
Fujiwara, Ippei; Hara, Naoko; Hirose, Yasuo; Teranishi, Yuki - Bank of Japan - 2004
In this paper, we set out the JEM (Japanese Economic Model), a large macroeconomic model of the Japanese Economy. Although the JEM is a theoretical model designed with a view to overcoming the Lucas (1976) critique of traditional large macroeconomic models, it can also be used for both...
Persistent link: https://www.econbiz.de/10010907523
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Using sentiment to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647230
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The Japanese Economic Model: JEM
Teranishi, Yuki; Fujiwara, Ippei; Hara, Naoko - Econometric Society - 2004
In this paper, we set out the JEM (Japanese Economic Model), a large macroeconomic model of the Japanese Economy. Although the JEM is a theoretical model designed with a view to overcoming the Lucas (1976) critique of traditional large macroeconomic models, it can also be used for both...
Persistent link: https://www.econbiz.de/10005702717
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Markov-Switching Structural Vector Autoregressions : Theory and Application
Rubio-Ramirez, Juan Francisco - 2014
restricted to only time-varying shock variances dominate the other models. We find a persistent post-1993 regime that is …
Persistent link: https://www.econbiz.de/10012709929
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The Macroeconomic Effects of Uncertainty Shocks in India
Bonga-Bonga, Lumengo; Gupta, Rangan; Jooste, Charl - Department of Economics, Faculty of Economic and … - 2015
The macroeconomic response to uncertainty for India is studied in a structural model that decomposes uncertainty into negative and positive contributions. The results show that uncertainty shocks reduce industrial production, lead to an exchange rate depreciation, lowers prices and increases...
Persistent link: https://www.econbiz.de/10011250612
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Are U.S. regions converging? Using new econometric methods to examine old issues
Vogelsang, Timothy J.; Tomljanovich, Marc - In: Empirical Economics 27 (2002) 1, pp. 49-62
Are different regions of the United States experiencing convergence in levels of GDP? Carlino and Mills (1993) examined this question through time-series techniques, and found some evidence in favor of regional convergence. This paper checks the robustness of their results by using new...
Persistent link: https://www.econbiz.de/10005382297