Two terms of a second-order approximation to the bias of the multivariate OLS estimate are derived using the same technique as in Nicholls and Pope (1988). The resulting second-order bias approximation is then tested against first-order alternatives on two bivariate Monte Carlo sijmulated VAR...

This paper analyzes the forecasting performance of an open economy DSGE model, estimated with Bayesian methods, for the Euro area during 1994Q1-2002Q4. We compare the DSGE model and a few variants of this model to various reduced form forecasting models such as vector autoregressions (VAR) and...

A bivariate second-order VAR model of money growth and inflation is specified and estimatedby means of least squares. The bias of the parameter estimates is approximated in three ways and new, bias-reduced estimates are computed using the approximations. The effects of bias reduction on...

This paper proposes a strategy to detect and impose reduced-rank restrictions in medium vector autoregressive models. In this framework, it is known that Canonical Correlation Analysis (CCA) does not perform well because inversions of large covariance matrices are required. We propose a method...

We investigate the effects of fiscal policy surprises for US data, using vector autoregressions.We overcome the difficulties that changes in fiscal policy may manifest themselves in variables other than fiscal variables first and that fiscal variables may respond 'automatically' to business...

This paper examines the performance of various statistical models and commonly used financial indicators for forecasting securitised real estate index returns for five European countries: the UK, Belgium, The Netherlands, France and Italy. Within a VAR framework it is demonstrated that the...

In 2001, the Fed has lowered interest rates in a series of cuts, starting from 6.5 % at the end of 2000 to 2.0 % by early November.This paper asks, whether the Federal Reserve Bank has been surprising the markets, taking as given the conventional view about the effect of monetary policy...

Vector autoregressive (VAR) models for stationary and integrated variables are reviewed. Model specification and parameter estimation are discussed and various uses of these models for forecasting and economic analysis are considered. For integrated and cointegrated variables it is argued that...

Asymmetric information models predict comovements among trade characteristics such as returns, bid-ask spread, and trade volume on one hand and the trading intensity on the other hand.In this paper we investigate empirically the two-sided causality between trade characteristics and trading...