Browsing Working Papers by Author "KASCHA, Christian"

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Browsing Working Papers by Author "KASCHA, Christian"

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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 ...