Browsing Department of Economics (ECO) by Subject "Vector autoregressive model"

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Title: Structural Vector Autoregressions with Markov Switching: Combining conventional with statistical identification of shocks Author(s): HERWARTZ, Helmut; LUETKEPOHL, Helmut Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks ...
Title: Forecasting Levels of log Variables in Vector Autoregressions Author(s): BARDSEN, Gunnar; LUETKEPOHL, Helmut Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Sometimes forecasts of the original variable are of interest although a variable appears in logarithms (logs) in a system of time series. In that case converting the forecast for the log of the variable to a naive forecast ...
Title: Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term Author(s): DEMETRESCU, Matei; LUETKEPOHL, Helmut; SAIKKONEN, Pentti Date: 2009 Type of Publication: Article Abstract: P>When applying Johansen's procedure for determining the cointegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in the cointegration ...

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