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Do Bivariate SVAR Models with Long-Run Identifying Restrictions Yield Reliable Results? The Case of Germany

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dc.creator van Zandweghe, Willem
dc.creator Gottschalk, Jan
dc.date 2001
dc.date.accessioned 2013-10-16T06:57:13Z
dc.date.available 2013-10-16T06:57:13Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/17890
dc.identifier ppn:333220897
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/17890
dc.description Bivariate SVAR models employing long-run identifying restrictions are often used to investigate the source of business cycle fluctuations. Their advantage is the simplicity in use and interpretation. However, their low dimension may also lead to a failure of the identification procedure, with the result that the identified shocks are a mixture of the ?true? shocks. To investigate this issue, we evaluate for German data the consistency of results from different bivariate SVAR models employing the same long-run identifying restrictions. We find that these models do not offer reliable evidence on the sources of output fluctuations.
dc.language eng
dc.publisher Kiel Institute for the World Economy (IfW) Kiel
dc.relation Kieler Arbeitspapiere 1068
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject E32
dc.subject C32
dc.subject ddc:330
dc.subject Business Cycle Fluctuations
dc.subject Structural Vector Autoregression Models
dc.subject Long-run Restrictions
dc.subject VAR-Modell
dc.subject Zeitreihenanalyse
dc.subject Unit Root Test
dc.subject Konjunktur
dc.subject Schock
dc.subject Schätzung
dc.subject Theorie
dc.subject Deutschland
dc.subject SVAR
dc.title Do Bivariate SVAR Models with Long-Run Identifying Restrictions Yield Reliable Results? The Case of Germany
dc.type doc-type:workingPaper
dc.coverage 1962-1998


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