Browsing ECO Working Papers by Author "HERWARTZ, Helmut"

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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: Are Small Countries Able to set their Own Interest Rates? Assessing the implications of the macroeconomic trilemma Author(s): HERWARTZ, Helmut; ROESTEL, Jan Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: According to the ’macroeconomic trilemma’ the ability of small economies to pursue an independent monetary policy is jointly determined by country specific foreign exchange (FX) rate flexibility and capital mobility. In ...
Title: Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity Author(s): HERWARTZ, Helmut; LUETKEPOHL, Helmut Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be ...

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