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Limited information estimation and evaluation of DSGE models

Fukač, Martin; Pagan, Adrian R. - In: Journal of applied econometrics 25 (2010) 1, pp. 55-70

Persistent link: https://www.econbiz.de/10008666815

Detecting common dynamics in transitory components

Christensen, Tim M.; Hurn, Stan; Pagan, Adrian R. - 2009

Persistent link: https://www.econbiz.de/10003978749

Assessing some models of the impact of financial stress upon business cycles

Pagan, Adrian R.; Robinson, Tim - 2011

Persistent link: https://www.econbiz.de/10009424231

Detecting common dynamics in transitory components

Christensen, Timothy; Hurn, Stan; Pagan, Adrian R. - In: Journal of time series econometrics 3 (2011) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10009623245

Estimation and solution of models with expectations and structural changes

Kulish, Mariano; Pagan, Adrian R. - 2012

Persistent link: https://www.econbiz.de/10010357534

Estimation and solution of models with expectations and structural changes

Kulish, Mariano; Pagan, Adrian R. - 2014

Persistent link: https://www.econbiz.de/10010244592

Limited information estimation and evaluation of DSGE models

Fukač, Martin (contributor); Pagan, Adrian R. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003749662

Extending a SVAR model of the Australian economy

Dungey, Mardi H.; Pagan, Adrian R. - In: The economic record : er 85 (2009), pp. 1-20

Persistent link: https://www.econbiz.de/10003817876

Checking if the straitjacket fits

Pagan, Adrian R.; Wickens, Michael R. - In: Essays in honor of M. Hashem Pesaran : prediction and …, (pp. 269-290). 2022

Persistent link: https://www.econbiz.de/10013201985

Too many shocks spoil the interpretation

Pagan, Adrian R.; Robinson, Tim - 2020

We show that when a model has more shocks than observed variables the estimated filtered and smoothed shocks will be correlated. This is despite no correlation being present in the data generating process. Additionally the estimated shock innovations may be autocorrelated. These correlations...

Persistent link: https://www.econbiz.de/10012320974