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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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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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Structural vector autoregressions with nonnormal residuals
Lanne, Markku; Lütkepohl, Helmut - 2006
In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is...
Persistent link: https://www.econbiz.de/10010261406
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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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Determinants of the current account balance in Lesotho : a structural vector autoregression analysis
Damane, Moeti; Thite, Maselone - In: International journal of sustainable economy 11 (2019) 2, pp. 141-166
Persistent link: https://www.econbiz.de/10012050860
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Money transmission mechanisms and identified long-run relationships between the banking sector's balance sheet and the macroeconomy in Pakistan
Ford, James L.; Mohammad, Zahid - 2010
Persistent link: https://www.econbiz.de/10009374204
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Real wages and labor-saving technical change : evidence from a panel of manufacturing industries in mature and labor-surplus economies
Souza, João Paulo A. de - 2014
This paper uses panel cointegration and error correction models to unveil the direction of long-run causality between the real product wage and labor productivity at the industry level. I use two datasets of manufacturing industries: the EU-Klems dataset covering 11 industries in 19 developed...
Persistent link: https://www.econbiz.de/10010362594
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Demographic change and the labour share of income
Schmidt, Torsten; Vosen, Simeon - 2009 - This version: February 26, 2009
Despite similar levels of per capita income, education and technology, the development of labour income shares in OECD countries has displayed different patterns since 1960. The paper examines the role of demography in this regard. We first use a standard overlapping generations model to derive...
Persistent link: https://www.econbiz.de/10011514550
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Sources of Growth in the Democratic Republic of the Congo : A Cointegration Approach
Akitoby, Bernardin - 2006
The paper investigates the sources of growth in the Democratic Republic of the Congo since 1960 and evaluates the relative importance of total factor productivity growth and factor accumulation, using a cointegration method and a growth accounting framework. The main findings confirm that poor...
Persistent link: https://www.econbiz.de/10012783155