Empirical Identification Of The Vector Autoregression
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Empirical Identification Of The Vector Autoregression
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Author : Kevin D. Hoover
language : en
Publisher:
Release Date : 2009
Empirical Identification Of The Vector Autoregression written by Kevin D. Hoover and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
The M2 monetary aggregate is monitored by the Federal Reserve, using a broad brush theoretical analysis and an informal empirical analysis. This paper illustrates empirical identification of an eleven-variable system, in which M2 and the factors that the Fed regards as causes and effects are captured in a vector autogregression. Taking account of cointegration, the methodology combines recent developments in graph-theoretical causal search algorithms with a general-to-specific search algorithm to identify a fully specified structural vector autoregression (SVAR). The SVAR is used to examine the causes and effects of M2 in a variety of ways. We conclude that, while the Fed has rightly identified a number of special factors that influence M2 and while M2 detectably affects other important variables, there is 1) little support for the core quantity-theoretic approach to M2 used by the Fed; and 2) M2 is a trivial linkage in the transmission mechanism from monetary policy to real output and inflation.
Structural Vector Autoregressive Analysis
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Author : Lutz Kilian
language : en
Publisher: Cambridge University Press
Release Date : 2017-11-23
Structural Vector Autoregressive Analysis written by Lutz Kilian and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-23 with Business & Economics categories.
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Unconventional Identification In Vector Autoregressive Models Empirical Essays On Credit Risk And Uncertainty
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Author : Maximilian Podstawski
language : en
Publisher:
Release Date : 2016
Unconventional Identification In Vector Autoregressive Models Empirical Essays On Credit Risk And Uncertainty written by Maximilian Podstawski and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Essays In Empirical Macroeconomics Identification In Vector Autoregressive Models And Robust Inference In Early Warning Systems
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Author : Martin Bruns
language : en
Publisher:
Release Date : 2019
Essays In Empirical Macroeconomics Identification In Vector Autoregressive Models And Robust Inference In Early Warning Systems written by Martin Bruns and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Handbook Of Financial Econometrics And Statistics
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Author : Cheng-Few Lee
language : en
Publisher: Springer
Release Date : 2014-09-28
Handbook Of Financial Econometrics And Statistics written by Cheng-Few Lee and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-28 with Business & Economics categories.
The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.
Empirical Vector Autoregressive Modeling
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Author : Marius Ooms
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Empirical Vector Autoregressive Modeling written by Marius Ooms and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
1. 1 Integrating results The empirical study of macroeconomic time series is interesting. It is also difficult and not immediately rewarding. Many statistical and economic issues are involved. The main problems is that these issues are so interrelated that it does not seem sensible to address them one at a time. As soon as one sets about the making of a model of macroeconomic time series one has to choose which problems one will try to tackle oneself and which problems one will leave unresolved or to be solved by others. From a theoretic point of view it can be fruitful to concentrate oneself on only one problem. If one follows this strategy in empirical application one runs a serious risk of making a seemingly interesting model, that is just a corollary of some important mistake in the handling of other problems. Two well known examples of statistical artifacts are the finding of Kuznets "pseudo-waves" of about 20 years in economic activity (Sargent (1979, p. 248)) and the "spurious regression" of macroeconomic time series described in Granger and Newbold (1986, §6. 4). The easiest way to get away with possible mistakes is to admit they may be there in the first place, but that time constraints and unfamiliarity with the solution do not allow the researcher to do something about them. This can be a viable argument.
Testing Identification Via Heteroskedasticity In Structural Vector Autoregressive Models
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Author : Helmut Lütkepohl
language : en
Publisher:
Release Date : 2018
Testing Identification Via Heteroskedasticity In Structural Vector Autoregressive Models written by Helmut Lütkepohl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Time Series Econometrics
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Author : Klaus Neusser
language : en
Publisher: Springer
Release Date : 2016-06-14
Time Series Econometrics written by Klaus Neusser and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-06-14 with Business & Economics categories.
This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students.
Structural Vector Autoregressions With Heteroskedasticity A Comparison Of Different Volatility Models
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Author : Helmut Lütkepohl
language : en
Publisher:
Release Date : 2015
Structural Vector Autoregressions With Heteroskedasticity A Comparison Of Different Volatility Models written by Helmut Lütkepohl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Identification In Structural Vector Autoregressive Models With Structural Changes With An Application To Us Monetary Policy
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Author : Emanuele Bacchiocchi
language : en
Publisher:
Release Date : 2015
Identification In Structural Vector Autoregressive Models With Structural Changes With An Application To Us Monetary Policy written by Emanuele Bacchiocchi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
A growing line of research makes use of structural changes and different volatility regimes found in the data in a constructive manner to improve the identification of structural parameters in structural vector autoregressions (SVARs). A standard assumption made in the literature is that the reduced form unconditional error covariance matrix varies while the structural parameters remain constant. Under this hypothesis, it is possible to identify the SVAR without needing to resort to additional restrictions. With macroeconomic data, the assumption that the transmission mechanism of the shocks does not vary across volatility regimes is debatable. We derive novel necessary and sufficient rank conditions for local identification of SVARs, where both the error covariance matrix and the structural parameters are allowed to change across volatility regimes. Our approach generalizes the existing literature on 'identification through changes in volatility' to a broader framework and opens up interesting possibilities for practitioners. An empirical illustration focuses on a small monetary policy SVAR of the US economy and suggests that monetary policy has become more effective at stabilizing the economy since the 1980s.