This paper analyses three Granger noncausality hypotheses within a conditionally Gaussian MS-VAR model. Noncausality in mean is based on Granger´s original concept for linear predictors by defining noncausality from the 1-step ahead forecast error variance for the conditional expectation....

This paper compares within-sample and out-of-sample fit of a DSGE model with rational expectations to a model with adaptive learning. The Galí, Smets and Wouters model is the chosen laboratory using quarterly real-time euro area data vintages, covering 2001Q1-2019Q4. The adaptive learning model...

This paper re-examines two data issues concerning euro area money demand: aggregation of national data and measurement of the own rate.The main purpose is to study if euro area money demand is subject to parameter non-constancies using formal tests rather than informal diagnostics. As a...

This paper re-examines two data issues concerning euro area money demand: aggregation of national data and measurement of the own rate. The main purpose is to study if euro area money demand is subject to parameter non-constancies using formal tests rather than informal diagnostics. As a...