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Introduction

Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

in Global and National Macroeconometric Modelling: A Long-Run Structural Approach

Published in print:
2006
Published Online:
September 2006
ISBN:
9780199296859
eISBN:
9780191603853
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199296855.003.0001
Subject:
Economics and Finance, Econometrics

This chapter introduces the long-run structural approach to modelling. It makes brief comparisons with the key alternative approaches, namely large-scale simultaneous equation models, unrestricted ... More


Global modelling and other applications

Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

in Global and National Macroeconometric Modelling: A Long-Run Structural Approach

Published in print:
2006
Published Online:
September 2006
ISBN:
9780199296859
eISBN:
9780191603853
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199296855.003.0012
Subject:
Economics and Finance, Econometrics

This chapter describes some recent extensions of the model and some other applications. These include an introduction to the development of a model of the global macroeconomy using the long-run ... More


Macroeconometric modelling: Alternative approaches

Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

in Global and National Macroeconometric Modelling: A Long-Run Structural Approach

Published in print:
2006
Published Online:
September 2006
ISBN:
9780199296859
eISBN:
9780191603853
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199296855.003.0002
Subject:
Economics and Finance, Econometrics

This chapter describes some alternative approaches to macroeconometric modelling, focusing on the long-run characteristics of macroeconomic models and the consensus that has developed surrounding ... More


Econometric methods: A review

Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

in Global and National Macroeconometric Modelling: A Long-Run Structural Approach

Published in print:
2006
Published Online:
September 2006
ISBN:
9780199296859
eISBN:
9780191603853
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199296855.003.0006
Subject:
Economics and Finance, Econometrics

This chapter briefly reviews the econometric methods needed for the empirical analysis of cointegrating VAR models and the associated impulse response functions, including new materials (on the ... More


Maximum‐Likelihood Inference Theory of Co‐Integrated VAR

Michio Hatanaka

in Time-Series-Based Econometrics: Unit Roots and Co-integrations

Published in print:
1996
Published Online:
November 2003
ISBN:
9780198773535
eISBN:
9780191596360
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198773536.003.0015
Subject:
Economics and Finance, Econometrics

This chapter examines inference procedures for the co-integration developed by Johansen (1988, 1991a, 1992b, 1992c, 1994) based on maximum-likelihood analysis of the VAR error-correction ... More


Autoregressive Models With Individual Effects

Manuel Arellano

in Panel Data Econometrics

Published in print:
2003
Published Online:
July 2005
ISBN:
9780199245284
eISBN:
9780191602481
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199245282.003.0006
Subject:
Economics and Finance, Econometrics

This chapter discusses the specification and estimation of autoregressive models with individual specific intercepts. It focuses on first order processes, since the main insights generalise in a ... More


Conclusion

Filippo di Mauro and M. Hashem Pesaran

in The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199670086
eISBN:
9780191749469
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199670086.003.0018
Subject:
Economics and Finance, Macro- and Monetary Economics

Some of the main findings of the book include: Cross-border financial spill-overs are particularly important, not only during the 2007-09 crises but more generally, in transmitting financial and real ... More


Systems of Equations

Luc Bauwens, Michel Lubrano, and Jean-François Richard

in Bayesian Inference in Dynamic Econometric Models

Published in print:
2000
Published Online:
September 2011
ISBN:
9780198773122
eISBN:
9780191695315
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198773122.003.0009
Subject:
Economics and Finance, Econometrics

This chapter aims to review how Bayesian inference can be applied to some of the so-called systems of equations models. These models can be defined in several forms including multivariate regression ... More


Factor‐augmented Error Correction Models *

Anindya Banerjee and Massimiliano Marcellino

in The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Published in print:
2009
Published Online:
September 2009
ISBN:
9780199237197
eISBN:
9780191717314
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199237197.003.0009
Subject:
Economics and Finance, Econometrics

This chapter brings together several important strands of the econometrics literature: error-correction, cointegration, and dynamic factor models. It introduces the Factor-augmented Error Correction ... More


The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis

Filippo di Mauro and M. Hashem Pesaran (eds)

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199670086
eISBN:
9780191749469
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199670086.001.0001
Subject:
Economics and Finance, Macro- and Monetary Economics

The recent crisis has shown yet again how the world economies are globally interlinked, via a complex net of transmission channels. When it comes, however, to build econometric frameworks aimed at ... More


Three Applications

Edward P. Herbst and Frank Schorfheide

in Bayesian Estimation of DSGE Models

Published in print:
2015
Published Online:
October 2017
ISBN:
9780691161082
eISBN:
9781400873739
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161082.003.0006
Subject:
Economics and Finance, Econometrics

This chapter modifies the baseline DSGE model in three dimensions. First, it replaces the AR processes for technology growth and government spending by a VAR process, generalizing the law of motion ... More


Fundamental Problems with Nonfundamental Shocks

Helmut Lütkepohl

in Essays in Nonlinear Time Series Econometrics

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199679959
eISBN:
9780191760136
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679959.003.0008
Subject:
Economics and Finance, Econometrics

Economic agents using information that is not incorporated in the econometric model is seen as a possible reason for why nonfundamental shocks are important in econometric models. Allowing for ... More


Monetary Policy with a Fixed Exchange Rate Regime

Raphael Espinoza, Ghada Fayad, and Ananthakrishnan Prasad

in The Macroeconomics of the Arab States of the Gulf

Published in print:
2013
Published Online:
January 2014
ISBN:
9780199683796
eISBN:
9780191763373
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199683796.003.0006
Subject:
Economics and Finance, Macro- and Monetary Economics

The GCC countries maintain a policy of open capital accounts and a pegged (or nearly-pegged) exchange rate, thereby reducing their freedom to run an independent monetary policy. This chapter shows, ... More


Financial Markets in the GCC Countries

Raphael Espinoza, Ghada Fayad, and Ananthakrishnan Prasad

in The Macroeconomics of the Arab States of the Gulf

Published in print:
2013
Published Online:
January 2014
ISBN:
9780199683796
eISBN:
9780191763373
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199683796.003.0008
Subject:
Economics and Finance, Macro- and Monetary Economics

As the global economic crisis took hold, the GCC countries’ financial systems found themselves affected through contagion despite the relatively low direct exposure to subprimes and to advanced ... More


Rise of the VAR Approach

Qin Duo

in A History of Econometrics: The Reformation from the 1970s

Published in print:
2013
Published Online:
September 2013
ISBN:
9780199679348
eISBN:
9780191758416
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679348.003.0004
Subject:
Economics and Finance, Econometrics, History of Economic Thought

This chapter examines the rise of the VAR (Vector AutoRegressive) approach. It shows that the VAR approach arises from a fusion of the CC tradition and time series statistical methods, catalysed by ... More


Modelling sovereign bond spreads in the euro area: a nonlinear global VAR model

Carlo A Favero

in The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199670086
eISBN:
9780191749469
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199670086.003.0011
Subject:
Economics and Finance, Macro- and Monetary Economics

Instability in the comovement among bond spreads in the euro area is an important feature for dynamic econometric modelling and forecasting. This chapter illustrates the properties of a non-linear ... More


The international spillover of fiscal spending on financial variables ∗

Christiane Nickel and Isabel Vansteenkiste

in The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199670086
eISBN:
9780191749469
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199670086.003.0012
Subject:
Economics and Finance, Macro- and Monetary Economics

In this paper, we study the international spillover effects of fiscal shocks. The focus of the analysis is on the impact of fiscal spending shocks on financial variables. To do so, we estimate a GVAR ... More


Introduction: An overview of the GVAR approach and the handbook

Filippo di Mauro and M. Hashem Pesaran

in The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199670086
eISBN:
9780191749469
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199670086.003.0001
Subject:
Economics and Finance, Macro- and Monetary Economics

The world economies are tightly interlinked, via a complex net of transmission channels, which are however hard to model empirically. The GVAR, a VAR based model of the global economy, offers a ... More


The basic GVAR DdPS model

Filippo di Mauro and L. Vanessa Smith

in The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199670086
eISBN:
9780191749469
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199670086.003.0002
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter provides a brief overview of the GVAR modelling framework and presents the basic GVAR model of Dees, di Mauro, Pesaran, and Smith (2007, DdPS). The DdPS GVAR model is estimated for 26 ... More


The GVAR approach to structural modelling

Ron P. Smith

in The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199670086
eISBN:
9780191749469
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199670086.003.0004
Subject:
Economics and Finance, Macro- and Monetary Economics

The basic GVAR model is subject to the critique that the shocks cannot be given a simple economic interpretation as demand, supply or monetary policy shocks. This chapter describes the construction ... More


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