All economists say that they want to take their models to the data. But with incomplete and highly imperfect data, doing so is difficult and requires carefully matching the assumptions of the model with the statistical properties of the data. The cointegrated VAR (CVAR) offers a way of doing so....

Applying a probabilistic causal approach, we define a class of time series causal models (TSCM) based on stationary Bayesian networks. A TSCM can be seen as a structural VAR identified by the causal relations among the variables. We classify TSCMs into observationally equivalent classes by...

Die Prognose von makroökonomischen Zeitreihen steht häufig vor dem Problem, dass die verwendeten Indikatoren und die Zielzeitreihe in verschiedenen Frequenzen vorliegen. So ist das Bruttoinlandsprodukt nur auf Quartalsbasis verfügbar, während die meisten Indikatoren, wie z.B. das ifo...