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Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model
Hartwig, Benny - 2020
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are imposed when the ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012424283
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Heterogeneity in regional consumption due to current income shocks : testing the permanent income hypothesis for German panel data
Mitze, Timo - 2010 - First incomplete version: February 2010
of a dynamic panel data model for German states between 1970 and 2006. Our preferred specification relates changes in …-run perspective in a co-integration model. Here we specify a Panel-ECM and look at its short run adjustment to judge about the share … smoothening characteristics of income transfers to the East. As a robustness check we also apply the Panel-ECM with spatially …
Persistent link: https://www.econbiz.de/10011575929
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Major League Baseball attendance : long-term analysis using factor models
Ahn, Seung Chan; Lee, Young Hoon - In: Journal of sports economics 15 (2014) 5, pp. 451-477
Persistent link: https://www.econbiz.de/10010424823
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A multiple indicator model for panel data : an application to ICT area-level variation
Ventura Colera, Eva; Satorra, Albert - 2014
Consider the case in which we have data from repeated surveys covering several geographic areas, and our goal is to characterize these areas on a latent trait that underlies multiple indicators. This characterization occurs, for example, in surveys of information and communication technologies...
Persistent link: https://www.econbiz.de/10011446963
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The dynamic impact of FX interventions on financial markets
Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2019
Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Using Japanese data, we...
Persistent link: https://www.econbiz.de/10012232128
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Uncertainty and non-linear macroeconomic effects of fiscal policy in the US : a SEIVAR-based analysis
Belke, Ansgar; Goemans, Pascal - 2019 - First draft: December 18, 2018, this draft: September 8, 2019
We investigate whether the macroeconomic effects of government spending shocks vary with the level of uncertainty. Using postwar US data and a Self-Exciting Interacted VAR (SEIVAR) model, we find that fiscal spending has positive output effects in tranquil times but is contractionary during...
Persistent link: https://www.econbiz.de/10012268062
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Backward CUSUM for testing and monitoring structural change
Otto, Sven; Breitung, Jörg - 2020
It is well known that the conventional CUSUM test suffers from low power and large detection delay. We therefore propose two alternative detector statistics. The backward CUSUM detector sequentially cumulates the recursive residuals in reverse chronological order, whereas the stacked backward...
Persistent link: https://www.econbiz.de/10012421897
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Directed graphs and variable selection in large vector autoregressive models
Bertsche, Dominik; Brüggemann, Ralf; Kascha, Christian - 2019 - First draft: July 17, 2017, this version: December 10, 2018
We represent the dynamic relation among variables in vector autoregressive (VAR) models as directed graphs. Based on these graphs, we identify so-called strongly connected components (SCCs). Using this graphical representation, we consider the problem of variable selection. We use the relations...
Persistent link: https://www.econbiz.de/10012317407
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Heteroskedastic proxy vector autoregressions
Lütkepohl, Helmut; Schlaak, Thore - 2021 - This version: December 15, 2020
In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroskedasticity is occasionally allowed for in inference, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change...
Persistent link: https://www.econbiz.de/10013330658
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The cyclical response of fiscal policies in the euro area : why do results of empirical research differ so strongly?
Golinelli, Roberto; Momigliano, Sandro - In: Fiscal policy : current issues and challenges ; papers …, (pp. 55-87). 2008
Persistent link: https://www.econbiz.de/10010380814