Browsing Department of Economics (ECO) by Author "KASCHA, Christian"

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Browsing Department of Economics (ECO) by Author "KASCHA, Christian"

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    Title: Three Essays in Time Series Econometrics  Author(s): KASCHA, Christian Date: 2007 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: This thesis deals with different topics in time series econometrics that belong, broadly speaking, to the area of macroeconometrics. That is, topics and methods are investigated which are of interest to applied researchers ...
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    Title: A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models  Author(s): KASCHA, Christian Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
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    Title: Business Cycle Analysis and VARMA Models  Author(s): KASCHA, Christian; MERTENS, Karl Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: An important question in empirical macroeconomics is whether structural vector autoregressions (SVARs) can reliably discriminate between competing DSGE models. Several recent papers have sug- gested that one reason SVARs ...