Results 261 to 270 of about 43,386 (309)

Heteroskedastic Structural Vector Autoregressions Identified via Long‐Run Restrictions

open access: yesOxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time‐invariance of the impact effects of the shocks. It is shown how that assumption can be tested when long‐run restrictions based on the cointegration structure of the variables are available for identifying structural ...
Martin Bruns, Helmut Lütkepohl
wiley   +1 more source

The Mathematical History Behind the Granger–Johansen Representation Theorem

open access: yesOxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT When can a vector time series that is integrated once (i.e., becomes stationary after taking first differences) be described in error correction form? The answer to this is provided by the Granger–Johansen representation theorem. From a mathematical point of view, the theorem can be viewed as essentially a statement concerning the geometry of ...
Johannes M. Schumacher
wiley   +1 more source

SCARFISH: A new SCAR action group to co‐ordinate Antarctic fish research

open access: yes
Journal of Fish Biology, EarlyView.
Jilda Alicia Caccavo   +57 more
wiley   +1 more source

What Are The Drivers of Labor Productivity in Italy?

open access: yesOxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT This paper introduces a novel sign restriction identification within a structural Bayesian vector autoregression (VAR) to analyse how labour productivity responds to supply and demand shocks and to quantify the contribution of shocks to cyclical fluctuations.
Josué Diwambuena, Francesco Ravazzolo
wiley   +1 more source

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