The vector autoregressive and structural vector autoregressive (VAR/SVAR) models are the cornerstone of the … (DSGE) models - the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to pathologies … the Fabio Canova e Mehdi Hamidi Sahneh, in order to test for these pathologies in Brazilian typical fiscal VAR model using …

The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerstone of the … General Equilibrium) models - the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to …

estimate a non causal VAR with Brazilian typical data and compare its forecasts to a regular causal VAR, using the same data … determination of the effects fiscal policy, as the non causal VAR has shown substantially better predictive ability than the regular … causal VAR for that dataset. …

In this paper we apply factor models proposed by Stock and Watson [18] and VAR and ARIMA models to generate 12-month … accuracy can be further improved by combining the information contained in factor and VAR models for some indices. With respect …

of the different models, respectively. We find that overall the large Bayesian VAR and the Bayesian factor augmented VAR …