Browsing Working Papers by Author "MACIEJOWSKA, Katarzyna"

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Title: Estimation Methods Comparison of SVAR Model with the Mixture of Two Normal Distributions – Monte Carlo Analysis Author(s): MACIEJOWSKA, Katarzyna Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper addresses the issue of obtaining maximum likelihood estimates of parameters for structural VAR models with a mixture of distributions. Hence the problem does not have a closed form solution, numerical optimization ...
Title: Common Factors in Nonstationary Panel Data with a Deterministic Trend – Estimation and Distribution Theory Author(s): MACIEJOWSKA, Katarzyna Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The paper studies large-dimension factor models with nonstationary factors and allows for deterministic trends and factors integrated of order higher then one. We follow the model specification of Bai (2004) and derive the ...
Title: Structural Vector Autoregressions with Markov Switching Author(s): LANNE, Markku; LUETKEPOHL, Helmut; MACIEJOWSKA, Katarzyna Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Abstract. It is argued that 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. ...

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