Vector Autoregressive (VAR) model, whose coefficients are updated by maximum likelihood estimation as the information set … imposes on the VAR coefficients are computed and compared with a proper set of critical values, which take the sequential …

monetary policy analysis, is evaluated with Vector Autoregressive (VAR) models. We consider both `one-shot' tests and sequences … update their beliefs. The analysis is based on the comparison of the likelihood of the unrestricted and restricted VAR, and …-based tests are applied. The result is robust to specification of the VAR as a stationary (albeit highly persistent) or …

Vector Autoregressive (VAR) model, whose coefficients are updated by maximum likelihood estimation, as the information set … imposes on the VAR are computed and compared with a proper set of critical values which take the sequential nature of the test …

Vector Autoregressive (VAR) model, whose coefficients are updated by maximum likelihood estimation, as the information set … imposes on the VAR are computed and compared with a proper set of critical values which take the sequential nature of the test …

This paper proposes the evaluation of the New Keynesian Phillips Curve (NKPC) under a new learning mechanism where VAR … assumption is that agents’ perceived law of motion is a VAR whose parameters are updated by recursive least squares. Differently … the VAR as the information set increases. When the restrictions are not rejected agents learn under the restricted system …

Vector Autoregressive (VAR) model, whose coefficients are updated by maximum likelihood estimation as the information set … imposes on the VAR coefficients are computed and compared with a proper set of critical values, which take the sequential …

Vector Autoregressive (VAR) model, whose coefficients are updated by maximum likelihood estimation, as the information set … imposes on the VAR are computed and compared with a proper set of critical values which take the sequential nature of the test …

fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …

I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR …