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Testing omitted variables in VARs
In: Statistical papers
ISSN: 1613-9798
AbstractA procedure is outlined aiming at testing the bias due to omitted variables in vector autoregressions. The procedure consists first of filtering a vector of omitted variables and then testing the bias. The test does not rely on the availability of the omitted variables, and is based on a comparison between maximum-likelihood with Kalman filter vector autoregression and linear vector autoregression estimates. The empirical part considers two illustrative examples: a univariate regression analysis, based on the rational expectation-augmented Phillips curve; and a VAR with output, inflation and interest rates where a "price puzzle" arises.
Sufficient information in structural VARs
In: Journal of monetary economics, Band 66, S. 124-136
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Working paper
Blended identification in structural VARs
In: Journal of monetary economics, S. 103581
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Working paper
Bayesian VARs with large panels
In: Discussion paper series 6326
In: International macroeconomics
Measuring nonfundamentalness for structural VARs
In: Journal of economic dynamics & control, Band 71, S. 86-101
ISSN: 0165-1889
Forecasting with dimension switching VARs
In: International journal of forecasting, Band 30, Heft 2, S. 280-290
ISSN: 0169-2070
Large Time-Varying Parameter VARs
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Working paper
Common Drifting Volatility in Large Bayesian VARs
In: FRB of Cleveland Working Paper No. 12-06
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