Similar Search Results

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

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

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

The international spillovers of synchronous monetary tightening

Caldara, Dario; Ferrante, Francesco; Iacoviello, Matteo; … - In: Journal of monetary economics 141 (2024), pp. 127-152

Persistent link: https://www.econbiz.de/10015071145

Stationarity of Asian real exchange rates : an empirical application of multiple testing to nonstationary panels with a structural break

Matsuki, Takashi; Sugimoto, Kimiko - In: Economic modelling 34 (2013), pp. 52-58

Persistent link: https://www.econbiz.de/10010360616

A Bayesian approach to identifying and interpreting regional convergence clubs in Europe

Fischer, Manfred M.; Lesage, James P. - 2012

step involves identifying the number and composition of clubs using a space-time panel data model for annual income growth … rates in conjunction with Bayesian model comparison methods. A second step uses a Bayesian space-time panel data model to …

Persistent link: https://www.econbiz.de/10011518150

Are PIIGS so different? : an empirical analysis of demand and supply shocks

Syssoyeva-Masson, Irina; Andrade, João de Sousa - In: Panoeconomicus 64 (2017) 2, pp. 189-222

Persistent link: https://www.econbiz.de/10011724004

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

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

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