Title:A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks
Author(s):LANNE, Markku; LUETKEPOHL, HelmutDate:2008Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:Abstract. Different identification schemes for monetary policy shocks have
been proposed in the literature. They typically specify just-identifying re-
strictions in a standard structural vector autoregressive (SVAR) ...
Title:Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term
Author(s):DEMETRESCU, Matei; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2008Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:When applying Johansen's procedure for determining the coin-
tegrating rank to systems of variables with linear deterministic trends, there
are two possible tests to choose from. One test allows for a trend in ...
Title:Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change
Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2008Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:We conduct a detailed simulation study of the forecasting performance of
diffusion index-based methods in short samples with structural change. We
consider several data generation processes, to mimic different types ...
Title:A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
Author(s):KASCHA, ChristianDate:2007Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:Classical Gaussian maximum likelihood estimation of mixed vector autoregressive moving-average models is plagued with various numerical problems and has been considered difficult by many applied researchers. These disadvantages ...
Title:Labor Market Dynamics and the Business Cycle: Structural Evidence for the United States
Author(s):RAVN, Morten O.; SIMONELLI, SaverioDate:2007Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:We use a 12-dimensional VAR to examine the dynamic effects on the labor market of four struc-
tural technology and policy shocks. For each shock, we examine the dynamic effects on the labor
market, the importance of the ...
