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Short-term inflation projections model and its assessment in Latvia
Bessonovs, Andrejs; Krasnopjorovs, Olegs - In: Baltic journal of economics 21 (2021) 2, pp. 184-204
This paper builds a short-term inflation projections (STIP) model for Latvia. The model is designed to forecast highly … Modelling Approach to Cointegration Analysis. Econometric Society Monographs, 31, 371-413.]. We assess the forecast accuracy of …) benchmarks. Across inflation components, the forecast accuracy gains are 20-30% forecasting 3 months ahead and 15-55% forecasting …
Persistent link: https://www.econbiz.de/10012805901
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Formula I(1) and I(2) : race tracks for likelihood maximization algorithms of I(1) and I(2) cointegrated VAR models
Doornik, Jurgen A.; Mosconi, Rocco; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 4, pp. 1-30
This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...
Persistent link: https://www.econbiz.de/10011781891
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The dynamic effects of shocks to wages and prices in the United States and the euro area
Duarte, Rita Netto de Miranda; Marques, Carlos Robalo - 2009
) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural … model, as well as the cointegrating properties of the estimated system. Overall, in the long run, wage and price inflation …
Persistent link: https://www.econbiz.de/10003867061
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Staatsverschuldung und Inflation : eine empirische Analyse für Deutschland
Mehnert, Alexander; Nastansky, Andreas - Lehrstuhl für Statistik und Ökonometrie, Wirtschafts- … - 2012
In the following study the relation between the public debt and the inflation will be analysed. The transmission from … the public debt to the inflation through the money supply and long term interest rate will be shown. Based on these …
Persistent link: https://www.econbiz.de/10010970520
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Classical identification: A viable road for data to inform structural modeling
Hammersland, Roger - 2008
This paper addresses how to enhance the role of data in structural model design by utilizing structural breaks and superfluous information as auxiliary tools of exact identification. To illustrate the procedure and to study the simultaneous interplay between financial variables and the real side...
Persistent link: https://www.econbiz.de/10011968332
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Detecting Imbalances in House Prices : What Goes Up Must Come Down?
Anundsen, André K. - 2016
With the aid of econometric modeling, I investigate whether rapidly increasing house prices necessarily imply the existence of a bubble that will eventually burst. I consider four alternative econometric methods to construct indicators of housing market imbalances for the US, Finland and Norway....
Persistent link: https://www.econbiz.de/10012982595
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Identifying Fiscal Policy Shocks in Chile and Colombia
Restrepo, Jorge E. - 2012
Structural VAR and Structural VEC models were estimated for Chile and Colombia, aiming at identifying fiscal policy shocks in both countries between 1990 and 2005. The impulse responses obtained allow the calculation of a peso-for-peso ($/$) effect on output of a shock to public spending and to...
Persistent link: https://www.econbiz.de/10013110678
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Classical identification: A viable road for data to inform structural modeling
Hammersland, Roger - Statistisk Sentralbyrå, Government of Norway - 2008
This paper addresses how to enhance the role of data in structural model design by utilizing structural breaks and superfluous information as auxiliary tools of exact identification. To illustrate the procedure and to study the simultaneous interplay between financial variables and the real side...
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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Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR Systems
Boswijk, Herman Peter; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 3, pp. 1-17
cointegration parameters. Algorithms for (constrained) maximum likelihood estimation are presented, and asymptotic properties …
Persistent link: https://www.econbiz.de/10011710948