Browsing Department of Economics (ECO) by Subject "heteroskedasticity"

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Browsing Department of Economics (ECO) by Subject "heteroskedasticity"

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    Title: Reaction to Technology Shocks in Markov-Switchings Structural VARs: Identification via heteroskedasticity  Author(s): NETŠUNAJEV, Aleksei Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The paper reconsiders the conflicting results in the debate connected to the effects of technology shocks on hours worked in the bivariate system. Given major dissatisfaction with the just-identifying long-run restrictions, ...
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    Title: The Role of log Transformation in Forecasting Economic Variables  Author(s): LUETKEPOHL, Helmut; XU, Fang Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which ...