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Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models
Fanelli, Luca - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2010
the result of the overidentifying restrictions test obtained from the estimation of the LRE model through a version of …
Persistent link: https://www.econbiz.de/10008763400
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Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models
Fanelli, Luca - In: Journal of Econometrics 170 (2012) 1, pp. 153-163
obtained from the estimation of the system of Euler equations of the LRE model through the generalized method of moments is …
Persistent link: https://www.econbiz.de/10011052239
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Geometric and long run aspects of Granger causality
Al-Sadoon, Majid M. - In: Journal of Econometrics 178 (2014) P3, pp. 558-568
invertible processes and VARMA. Using the proposed extensions, the paper demonstrates that: (i) mean reversion in L2 is an …
Persistent link: https://www.econbiz.de/10011052289
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Testing for A Set of Linear Restrictions in VARMA Models Using Autoregressive Metric: An Application to Granger Causality Test
Iorio, Francesca Di; Triacca, Umberto - In: Econometrics 2 (2014) 4, pp. 203-216
In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA …
Persistent link: https://www.econbiz.de/10011105155
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Geometric and Long Run Aspects of Granger Causality
Al-Sadoon, Majid M. - Barcelona Graduate School of Economics (Barcelona GSE) - 2013
invertible process and VARMA. Using the proposed extensions, the paper demonstrates that: (i) mean reversion in L2 is an instance …
Persistent link: https://www.econbiz.de/10011166114
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On the Output Effects of Monetary Variability
Serletis, Apostolos; Rahman, Sajjadur - In: Open Economies Review 26 (2015) 2, pp. 225-236
In this paper we provide an update regarding the effects of money growth variability on real economic activity in the United States using monthly data and the new CFS Divisia monetary aggregates, extending the work in Serletis and Shahmoradi (Macroecon Dyn 10:652–666 <CitationRef CitationID="CR25">2006</CitationRef>) and Serletis and...</citationref>
Persistent link: https://www.econbiz.de/10011241894
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Business Cycle Analysis and VARMA models
Kascha, Christian; Mertens, Karel - Department of Economics, European University Institute - 2006
that do not suffer from this type of misspecification. We estimate VARMA and state space models using simulated data from a … by using algorithms based on a VARMA representation. However, algorithms that are based on the state space representation …
Persistent link: https://www.econbiz.de/10005816378
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Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - Tinbergen Instituut - 2013
Taiwan tourism industry. The analysis is based on two conditional multivariate models, BEKK-AGARCH and VARMA-AGARCH, in the …
Persistent link: https://www.econbiz.de/10011256725
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A sunspot paradox
Hintermaier, Thomas - 2004
Calibrated models of the business cycle typically assume a certain frequency at which economic agents take decisions. In this paper I show that the local stability properties of dynamic stochastic general equilibrium macro models may depend on the length of a period in the model economy. This...
Persistent link: https://www.econbiz.de/10010293732
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Modelling realized variance when returns are serially correlated
Oomen, Roel C. A. - 2004
This article examines the impact of serial correlation in high frequency returns on the realized variance measure. In particular, it is shown that the realized variance measure yields a biased estimate of the conditional return variance when returns are serially correlated. Using 10 years of...
Persistent link: https://www.econbiz.de/10010306970