Results 221 to 230 of about 88,438 (264)

Structural VAR models in the Frequency Domain

Journal of Econometrics, 2023
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Guay, Alain, Pelgrin, Florian
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Asian monetary integration: a structural VAR approach [PDF]

Mathematics and Computers in Simulation, 2004
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Zhaoyong Zhang, Kiyotaka Sato, Michael McAleer   +2 more
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From VAR models to Structural VAR models

1997
In this chapter we introduce the philosophy, the basic concepts and definitions of VAR analysis (sections 1.1 and 1.2). After that, in section 1.3 we discuss the problems of VAR estimation and in section 1.4 we describe the possible uses of VAR models. Then in section 1.5 we start dealing with Structural VAR analysis, pointing out the main features of ...
Gianni Amisano, Carlo Giannini
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Structural VARs and VECMs

2005
In Chapters 2 and 6, we have seen that, on the one hand, impulse responses are an important tool to uncover the relations between the variables in a VAR or VECM and, on the other hand, there are some obstacles in their interpretation. In particular, impulse responses are generally not unique and it is often not clear which set of impulse responses ...
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A Review of Nonfundamentalness and Identification in Structural VAR Models [PDF]

SSRN Electronic Journal, 2008
We review, under a historical perspective, the development of the problem of nonfundamentalness of Moving Average (MA) representations of economic models. Nonfundamentalness typically arises when agents’ information space is larger than the econometrician’s one. Therefore it is impossible for the latter to use standard econometric techniques, as Vector
Lucia Alessi, Matteo Barigozzi, Marco Capasso   +2 more
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A spectral decomposition for structural VAR models

Empirical Economics, 1996
Based on structural VARs, this paper proposes a spectral decomposition which allows to infer the effects of changes in one variable on the other variables in the frequency domain. It is shown that there is a close relationship between this concept and conventional forecast error variance decomposition techniques for VARs.
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Structural Analysis of Cointegrating VARs

Journal of Economic Surveys, 1998
This survey uses a number of recent developments in the analysis of cointegrating Vector Autoregressions (VARs) to examine their links to the older structural modelling traditions using Autoregressive Distributed Lag (ARDL), and Simultaneous Equations Models (SEMs).
M. Hashem Pesaran, Ron P. Smith
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Rental prices: Structural VAR and Bayesian Structural VAR analysis for the case of Spain

2021
Treball Final de Màster Universitari en Economia / Master in Economics. Codi: SRR019.
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Identification with External Instruments in Structural VARs

Journal of Monetary Economics, 2022
Silvia Miranda-Agrippino, Giovanni Ricco
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Structural VAR models

in corso di ...
AMISANO, Giovanni Gabriele, GIANNINI C.
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