Due to the recent financial crisis, the interest in econometric models that allow to incorporate binary variables (such as the occurrence of a crisis) experienced a huge surge. This paper evaluates the performance of the Qual VAR, i.e. a VAR model including a latent variable that governs the...

Mit Beiträgen von: Dieter Bender, Tobias Bidlingmaier; Carsten Eckel, Makram El-Shagi; Michael Frenkel, Hans-Rimbert Hemmer, Andreas Irmen; Ulf von Kalckreuth, Ralf Krüger, Helga Luckenbach; Ronald McKinnon; Edmund S. Phelps; Stefan Reitz, Gerhard Rübel; Karlhans Sauernheimer; Jennifer Seith;...