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The econometrics of oil market VAR Models
Kilian, Lutz; Zhou, Xiaoqing - 2020
Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...
Persistent link: https://www.econbiz.de/10012174841
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Building a structural model : parameterization and structurality
Mouchart, Michel; Orsi, Renzo - In: Econometrics : open access journal 4 (2016) 2, pp. 1-16
A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when...
Persistent link: https://www.econbiz.de/10011506231
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Building a structural model : parameterization and structurality
Mouchart, Michel; Orsi, Renzo - 2015
Persistent link: https://www.econbiz.de/10011581832
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Building a structural model : parameterization and structurality
Mouchart, Michel; Orsi, Renzo - 2015
A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when...
Persistent link: https://www.econbiz.de/10011713803
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Causal transmission in reduced-form models
Bazinas, Vassilios; Nielsen, Bent - In: Econometrics : open access journal 10 (2022) 2, pp. 1-25
We propose a method to explore the causal transmission of an intervention through two endogenous variables of interest. We refer to the intervention as a catalyst variable. The method is based on the reduced-form system formed from the conditional distribution of the two endogenous variables...
Persistent link: https://www.econbiz.de/10013355236
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Estimating the economy-wide rebound effect using empirically identified structural vector autoregressions
Bruns, Stephan B.; Moneta, Alessio; Stern, David I. - 2019
The size of the economy-wide rebound effect is crucial for estimating the contribution that energy efficiency … improvements can make to reducing greenhouse gas emissions and for understanding the drivers of energy use. Existing estimates … autoregressive (SVAR) model, we identify the dynamic causal impact of structural shocks, including an energy efficiency shock …
Persistent link: https://www.econbiz.de/10012053107
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Is the convergence of the manufacturing sector unconditional?
Assunção, Juliano J.; Burity, Priscilla; Medeiros, … - In: Economia : revista da ANPEC 16 (2015) 3, pp. 273-294
In Unconditional Convergence, Rodrik (2011b) documented that manufacturing industries exhibit unconditional convergence in labor productivity. We provide a novel semi-parametric specification for convergence equations and show that the speed of convergence varies systematically with...
Persistent link: https://www.econbiz.de/10011865520
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Estimating Demand of Turkish Energy Market : A Multivariate Regression Model
Ugurlu, Erginbay - 2020
Energy is a fundamental factor in economic development. Although in recent years there is a development in studies on … an energy economics they are focused on specific energy sources. In this study natural gas, electricity and oil … consumption which are the energy sources that the greatest market share of world and Turkey are investigating. In this …
Persistent link: https://www.econbiz.de/10012846932
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The Role of the Prior in Estimating VAR Models with Sign Restrictions
Inoue, Atsushi; Kilian, Lutz - 2020
Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR models may be unintentionally informative about the implied prior for the structural impulse responses. This question is indeed important, but we show that the tools that have...
Persistent link: https://www.econbiz.de/10014090346
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Chapter 17. An Econometric Approach to General Equilibrium Modeling
Jorgenson, Dale W.; Jin, Hui; Slesnick, Daniel T.; … - In: Handbook of computable general equilibrium modeling : …, (pp. 1133-1212). 2013
development of a closed-form representation of aggregate demand and labor supply that accounts for the heterogeneity in household …
Persistent link: https://www.econbiz.de/10014025274