أعرض تسجيلة المادة بشكل مبسط

dc.creator Lanne, Markku
dc.creator Lütkepohl, Helmut
dc.date 2006
dc.date.accessioned 2013-10-16T07:02:58Z
dc.date.available 2013-10-16T07:02:58Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19115
dc.identifier ppn:510014895
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19115
dc.description In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is pointed out that specific distributional assumptions can also help in identifying the structural shocks. In particular, a mixture of normal distributions is considered as a plausible model that can be used in this context. Our model setup makes it possible to test restrictions which are just-identifying in a standard SVAR framework. In particular, we can test for the number of transitory and permanent shocks in a cointegrated SVAR model. The results are illustrated using a data set from King, Plosser, Stock and Watson (1991) and a system of US and European interest rates.
dc.language eng
dc.publisher
dc.relation CESifo working papers 1651
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject C32
dc.subject ddc:330
dc.subject mixture normal distribution
dc.subject cointegration
dc.subject vector autoregressive process
dc.subject vector error correction model
dc.subject impulse responses
dc.subject VAR-Modell
dc.subject Kointegration
dc.subject Fehlerkorrekturmodell
dc.subject Theorie
dc.title Structural vector autoregressions with nonnormal residuals
dc.type doc-type:workingPaper


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أعرض تسجيلة المادة بشكل مبسط