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Title:Markov-Switching Vector Autoregressive Models: Monte Carlo experiment, impulse response analysis, and Granger-Causal analysis Author(s):DROUMAGUET, MatthieuDate:2012Citation:
- Florence : European University Institute, 2012
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:This dissertation has for prime theme the exploration of nonlinear econometric models featuring a hidden Markov chain. Occasional and discrete shifts in regimes generate convenient nonlinear dynamics to econometric models, ...
Title:Granger-Causal Analysis of Conditional Mean and Volatility Models Author(s):WOŹNIAK, TomaszDate:2012Citation:
- Florence : European University Institute, 2012
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:Recent economic developments have shown the importance of spillover and contagion effects in financial markets as well as in macroeconomic reality. Such effects are not limited to relations between the levels of variables ...
Title:Bayesian Testing of Granger Causality in Markov-Switching VARs Author(s):DROUMAGUET, Matthieu; WOŹNIAK, TomaszDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/06Abstract:Recent economic developments have shown the importance of spillover and contagion effects in financial markets as well as in macroeconomic reality. Such effects are not limited to relations between the levels of variables ...
Title:Nested Models and Model Uncertainty Author(s):KRIWOLUZKY, Alexander; STOLTENBERG, Christian A.Date:2009Type:Working PaperSeries/Number:EUI ECO; 2009/37Abstract:Uncertainty about the appropriate choice among nested models is a central concern for optimal policy when policy prescriptions from those models differ. The standard procedure is to specify a prior over the parameter space ...
Title:Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models Author(s):KRIWOLUZKY, AlexanderDate:2009Type:Working PaperSeries/Number:EUI MWP; 2009/27Abstract:This paper shows how to identify the structural shocks of a Vector Autoregression (VAR) while simultaneously estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data-generating ...
Title:Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models Author(s):KRIWOLUZKY, AlexanderDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/29Abstract:This paper shows how to identify the structural shocks of a Vector Autoregression (VAR) while simultaneously estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data-generating ...
Title:Nested Models and Model Uncertainty Author(s):KRIWOLUZKY, Alexander; STOLTENBERG, Christian A.Date:2009Type:Working PaperSeries/Number:EUI MWP; 2009/31Abstract:Uncertainty about the appropriate choice among nested models is a central concern for optimal policy when policy prescriptions from those models differ. The standard procedure is to specify a prior over the parameter space ...
Title:Optimal Pre-Announced Tax Reform Revisited Author(s):TRABANDT, MathiasDate:2007Type:Working PaperSeries/Number:EUI ECO; 2007/52Abstract:Domeij and Klein (2005) have shown that the welfare gains of an optimal capital and labor income tax reform decline the longer the reform is pre-announced before its implementation. In other words, pre-announcement is ...