In contrast to conventional model selection criteria, the Focused Information Criterion (FIC) allows for purpose-specific choice of models. This accommodates the idea that one kind of model might be highly appropriate for inferences on a particular parameter, but not for another. Ever since its...

We provide estimates of the rebound effect for car transport in Denmark, using a rich data set with individual household data on car use, fuel efficiency, and car as well as household characteristics. A demand model is estimated in first differences; the availability of households in the sample...

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

From time to time, economies undergo far-reaching structural changes. In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest test procedures for structural breaks....

Die vorliegende Arbeit untersucht, wie sich Angebots-, Nachfrage- und geldpolitische Schocks aus den Vereinigten Staaten auf Deutschland übertragen. Dabei wird ein so genanntes factor-augmented vector autoregressive model (FAVAR) auf einen neu zusammengestellten Datensatz mit mehr als 200...

This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...

We study how credit supply shocks in the US, the euro area and Japan are transmitted to other economies. We use the recently-developed GVAR approach to model financial variables jointly with macroeconomic variables in 33 countries for the period 1983-2009. We experiment with inter-country links...

This paper estimates the effects of technology shocks in VAR models of the U.S., identified by imposing restrictions on the sign of impulse responses. These restrictions are consistent with the implications of a popular class of DSGE models, with both real and nominal frictions, and with...