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Kilian, Lutz - C.E.P.R. Discussion Papers - 2011

of this literature. It focuses on alternative approaches to the identification of structural shocks within the framework …

Persistent link: https://www.econbiz.de/10009201117

Macroeconometric Policy Modeling for India: A Review of Some Analytical Issues

Pandit, V. - Centre for Development Economics, Delhi School of Economics - 2000

Not available

Persistent link: https://www.econbiz.de/10005418916

Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models

Fanelli, Luca - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2010

a proper set of identification restrictions, determinacy is investigated by a misspecification-type approach in which …

Persistent link: https://www.econbiz.de/10011228065

Identification of cointegrating relations in I(2) vector autoregressive models

Paruolo, Paolo; Mosconi, Rocco - Facoltà di Economia, Università degli Studi dell'Insubria - 2010

This paper discusses identification within a new parametrization for I(2) systems, where the integral and proportional … proportional control term. We discuss the joint identification of the cointegrating relations, providing rank and order conditions … of under- exact- and over-identification. An illustration on US consumption is also …

Persistent link: https://www.econbiz.de/10011204471

On the Identification of Codependent VAR and VEC Models

Trenkler, Carsten; Weber, Enzo - Wirtschaftswissenschaftliche Fakultät, Universität … - 2010

In this paper we discuss identification of codependent VAR and VEC models. Codependence of order q is given if a linear … can guarantee identification in case of serial correlation common features, i.e. when q=0, and for a single vector …

Persistent link: https://www.econbiz.de/10008643718

Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models

Fanelli, Luca - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2010

a proper set of identification restrictions, determinacy is investigated by a misspecification-type approach in which …

Persistent link: https://www.econbiz.de/10008763400

What does a financial shock do? First international evidence

Fornari, Fabio; Stracca, Livio - European Central Bank - 2013

In this paper we attempt to evaluate the quantitative impact of financial shocks on key indicators of real activity and financial conditions. We focus on financial shocks as they have received wide attention in the recent literature and in the policy debate after the global financial crisis. We...

Persistent link: https://www.econbiz.de/10010686798

Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models

Fanelli, Luca - In: Journal of Econometrics 170 (2012) 1, pp. 153-163

This paper proposes a testing strategy for the null hypothesis that a multivariate linear rational expectations (LRE) model may have a unique stable solution (determinacy) against the alternative of multiple stable solutions (indeterminacy). The testing problem is addressed by a...

Persistent link: https://www.econbiz.de/10011052239

Sims, Christopher Albert (born 1942)

Boumans, Marcel - Palgrave Macmillan

from theoretical identification restrictions to identifying the main characteristics of the time series data, hence a shift …

Persistent link: https://www.econbiz.de/10011141077

Is China's Monetary Policy Effective? Evaluating the VAR Evidence

Jiang, Jiadan; Kim, David - In: China Economic Policy Review (CEPR) 02 (2013) 02, pp. 1350010-1

(VAR) models. To identify exogenous monetary policy shocks, two identification approaches are considered in this paper: A …

Persistent link: https://www.econbiz.de/10011106345