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The transmission of German monetary policy in the pre-Euro period
Lütkepohl, Helmut; Wolters, Jürgen - 2001
is constructed for the German monetary sector based on M3, GNP, an inflation rate, a long-term interest rate and a short …-term rate which represents the policy variable of the DBB. Moreover, import price inflation is included as an exogenous variable …
Persistent link: https://www.econbiz.de/10011400913
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The transmission of German monetary policy in the pre-Euro period
Lütkepohl, Helmut; Wolters, Jürgen - 2001
is constructed for the German monetary sector based on M3, GNP, an inflation rate, a long-term interest rate and a short …-term rate which represents the policy variable of the DBB. Moreover, import price inflation is included as an exogenous variable …
Persistent link: https://www.econbiz.de/10009616780
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Comparison of model reduction methods for VAR processes
Brüggemann, Ralf; Krolzig, Hans-Martin; Lütkepohl, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 2002
The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets....
Persistent link: https://www.econbiz.de/10010983450
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Comparison of model reduction methods for VAR processes
Brüggemann, Ralf; Krolzig, Hans-Martin; Lütkepohl, Helmut - 2002
The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets....
Persistent link: https://www.econbiz.de/10010310539
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Comparison of Model Reduction Methods for VAR Processes
Brüggemann, Ralf; Krolzig, Hans-Martin; Lütkepohl, Helmut - Economics Group, Nuffield College, University of Oxford - 2003
The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets....
Persistent link: https://www.econbiz.de/10005730270
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Comparison of model reduction methods for VAR processes
Brüggemann, Ralf; Krolzig, Hans-Martin; Lütkepohl, Helmut - 2002
The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets....
Persistent link: https://www.econbiz.de/10009627281
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Was there a regime change in the German monetary transmission mechanism in 1983?
Candelon, Bertrand; Lütkepohl, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 2000
Recent investigations of the transmission mechanism of German monetary policy arrive at quite different conclusions regarding its stability during the period of monetary targeting by the Bundesbank. In this study small dynamic models for the monetary sector of the German economy are analyzed in...
Persistent link: https://www.econbiz.de/10010983546
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The transmission of German monetary policy in the pre-Euro period
Lütkepohl, Helmut; Wolters, Jürgen - Sonderforschungsbereich 373, Quantifikation und … - 2001
is constructed for the German monetary sector based on M3, GNP, an inflation rate, a long-term interest rate and a short …-term rate which represents the policy variable of the DBB. Moreover, import price inflation is included as an exogenous variable …
Persistent link: https://www.econbiz.de/10010983578
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Lag selection in subset VAR models with an application to a US monetary system
Brüggemann, Ralf; Lütkepohl, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 2000
Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...
Persistent link: https://www.econbiz.de/10010983813
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Lag selection in subset VAR models with an application to a US monetary system
Brüggemann, Ralf; Lütkepohl, Helmut - 2000
Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...
Persistent link: https://www.econbiz.de/10010310204