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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/10003646695
Persistent link: https://www.econbiz.de/10003624878
Persistent link: https://www.econbiz.de/10003596456
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/10003831142
Persistent link: https://www.econbiz.de/10002808264
Persistent link: https://www.econbiz.de/10002808714
are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for …
Persistent link: https://www.econbiz.de/10002734112
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...
Persistent link: https://www.econbiz.de/10003652679
Persistent link: https://www.econbiz.de/10003741143
The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...
Persistent link: https://www.econbiz.de/10003770821