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An economic theory of the short run

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:
10.1093/0199296855.003.0005
Subject:
Economics and Finance, Econometrics

This chapter explores a set of identifying restrictions on the short-run dynamics that might be used to supplement the long-run restrictions if the model is to be used to investigate the effect of ... More


Evolving Roles of Error Terms

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/9780199679348.003.0009
Subject:
Economics and Finance, Econometrics, History of Economic Thought

This chapter describes the methodological confusions in econometrics via the growing labyrinth of the error term specification and interpretation. It traces the specification and interpretation from ... More


Mismatch: the Structure of Unemployment

Richard Layard, Stephen Nickell, and Richard Jackman

in Unemployment: Macroeconomic Performance and the Labour Market

Published in print:
2005
Published Online:
October 2011
ISBN:
9780199279166
eISBN:
9780191700033
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199279166.003.0006
Subject:
Economics and Finance, Macro- and Monetary Economics

There are significant differences in unemployment levels between occupations, regions, age-groups, and races. These differences are very persistent and do not reflect the legacy of structural shocks. ... 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


Impulse Response Analysis

M. Hashem Pesaran

in Time Series and Panel Data Econometrics

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.003.0024
Subject:
Economics and Finance, Econometrics

This chapter first introduces impulse response analysis and forecast error variance decomposition for unrestricted vector autoregressive (VAR) models and discusses the orthogonalized and generalized ... More


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