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Cointegration in a periodic vector autoregression
Kleibergen, Frank; Franses, Philip Hans - Faculteit der Economische Wetenschappen, Erasmus … - 1999
to a restriction on a product of parameter matrices. We therefore use GMM to construct estimators of the long …-run (cointegration) parameters and to obtain test statistics for cointegration. We show that the limiting distributions of the GMM …
Persistent link: https://www.econbiz.de/10010837996
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How do oil shocks affect the structural stability of hybrid new Keynesian Phillips curve? /Somayeh Mardaneh
Mardaneh, Somayeh - 2012
Persistent link: https://www.econbiz.de/10009670647
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Identification using stability restrictions
Magnusson, Leandro M.; Mavroeidis, Sophocles - In: Econometrica : journal of the Econometric Society, an … 82 (2014) 5, pp. 1799-1851
Persistent link: https://www.econbiz.de/10011556917
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Fiscal multipliers in a panel of countries
Contreras, Juan; Battelle, Holly - 2014
countries. By using a GMM estimator and lagged dependent variables as instruments in a SVAR model, we attempt to correct for the …
Persistent link: https://www.econbiz.de/10010402581
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Is the effect of Indian energy price shocks asymmetric on the stock market at the firm level? : a panel SVAR approach
Aruna, Bhagavatula; Acharya, Rajesh H. - In: Economics and policy of energy and the environment 62 (2020) 1, pp. 191-211
Persistent link: https://www.econbiz.de/10012649738
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Qualitative versus quantitative external information for proxy vector autoregressive analysis
Boer, Lukas; Lütkepohl, Helmut - In: Journal of economic dynamics & control 127 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012668854
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Qualitative versus quantitative external information for proxy vector autoregressive analysis
Boer, Lukas; Lütkepohl, Helmut - 2021
A major challenge for proxy vector autoregressive analysis is the construction of a suitable external instrument variable or proxy for identifying a shock of interest. Some authors construct sophisticated proxies that account for the dating and size of the shock while other authors consider...
Persistent link: https://www.econbiz.de/10012498418
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Fiscal sustainability assessment for Suriname 1978-2017 : a fiscal reaction function approach
Mungroo, Albert; Tjon Kie Sim-Balker, Peggy - 2020
following econometric techniques OLS, VAR, TAR, GMM and VECM. The results showed a positive and significant, but weak …
Persistent link: https://www.econbiz.de/10012298406
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A simple instrument for proxy vector autoregressive analysis
Boer, Lukas; Lütkepohl, Helmut - 2020
A major challenge for proxy vector autoregressive analysis is the construction of a suitable instrument variable for identifying a shock of interest. We propose a simple proxy that can be constructed whenever the dating and sign of particular shocks are known. It is shown that the proxy can lead...
Persistent link: https://www.econbiz.de/10012301348
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The bank capital-competition-risk nexus : a global perspective
Davis, E. Philip; Karim, Dilruba; Noel, Dennison - 2019
Persistent link: https://www.econbiz.de/10011980868