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Inference in Vector Autoregressive Models with an Informative Prior on the Steady State
Villani, Mattias - 2005
cointegrated VARs in a parametrization where prior beliefs on the steady state may be adequately incorporated. The analysis is …
Persistent link: https://www.econbiz.de/10010321341
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Inference in vector autoregressive models with an informative prior on the steady state
Villani, Mattias - 2005
cointegrated VARs in a parametrization where prior beliefs on the steady state may be adequately incorporated. The analysis is …
Persistent link: https://www.econbiz.de/10011585058
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Inference in Vector Autoregressive Models with an Informative Prior on the Steady State
Villani, Mattias - Sveriges Riksbank - 2005
cointegrated VARs in a parametrization where prior beliefs on the steady state may be adequately incorporated. The analysis is …
Persistent link: https://www.econbiz.de/10005649059
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Testing the balanced growth hypothesis in the presence of structural breaks : evidence from developed and developing countries
Arjun; Mishra, Bibhuti Ranjan - In: Prague economic papers : a bimonthly journal of … 33 (2024) 1, pp. 1-35
The balanced growth theory and the neoclassical growth model predict that certain macroeconomic variables such as output, consumption, and investment grow at a constant rate. Analytically, it indicates that the consumption-output ratio and the investment-output ratio (termed "great ratios") must...
Persistent link: https://www.econbiz.de/10014516266
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The Austrian Business Cycle : A Vector Error-Correction Model with Commercial and Industrial Loans
Mulligan, Robert F. - 2007
A vector error-correction model (VECM) of output, consumption, investment, and credit is identified and estimated, employing the Johansen-Juselius (1990) test for cointegration. Because the Austrian school views economic activity as a disequilibrium process, VECM estimates offer an empirical...
Persistent link: https://www.econbiz.de/10014222796
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Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models
Chevallier, Julien - In: Economic Modelling 28 (2011) 6, pp. 2634-2656
This paper studies the nonlinear adjustment between industrial production and carbon prices – coined as ‘the carbon-macroeconomy relationship’ – in the EU 27. We model carbon price returns and industrial production as nonlinear and state-dependent, with dynamics depending on the sign and...
Persistent link: https://www.econbiz.de/10010577077
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Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models
Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2011
This paper studies the nonlinear adjustment between industrial production and carbon prices – coined as ‘the carbon-macroeconomy relationship’ – in the EU 27. We model carbon price returns and industrial production as nonlinear and state-dependent, with dynamics depending on the sign and...
Persistent link: https://www.econbiz.de/10010706442
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Vector autoregressive analysis
Lütkepohl, Helmut - 1999
An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegration. The models, estimating their parameters and specifying the autoregressive order, the cointegrating rank and other restrictions are discussed. Possibilities for model validation are also...
Persistent link: https://www.econbiz.de/10010310005
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Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs
Villani, Mattias; Warne, Anders - 2003
Structural VARs have been extensively used in empirical macroeconomics during the last two decades, particularly in … analyses of monetary policy. Existing Bayesian procedures for structural VARs are at best confined to a severly limited … handling of cointegration restrictions. This paper extends the Bayesian analysis of structural VARs to cover cointegrated …
Persistent link: https://www.econbiz.de/10011585032
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Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models
Luetkepohl, Helmut - Department of Economics, European University Institute - 2005
Structural vector autoregressive (VAR) models are in frequent use for impulse response analysis. If cointegrated variables are involved, the corresponding vector error correction models offer a convenient framework for imposing structural long-run and short-run restrictions. Occasionally it is...
Persistent link: https://www.econbiz.de/10005557733