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Title:Essays in the econometrics of macroeconomic models Author(s):TRYPHONIDES, Andreas
Date:2016Citation:
- Florence : European University Institute, 2016
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:The thesis has focused on issues related to the use of external information in the identification, estimation and evaluation of Dynamic Stochastic General Equilibrium (DSGE) models, and comprises three papers. The first ...
Date:2016Citation:
Title:Structural vector autoregressions with Markov switching : identification via heteroskedasticity Author(s):NETŠUNAJEV, AlekseiDate:2013Citation:
- Florence : European University Institute, 2013
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:Structural vector autoregressions are of great importance in applied macroeconometric work. The main di culty associated with structural analysis is to identify unique shocks of interest. In a conventional approach this ...
Title:On using Markov switching time series models to verify structural identifying restrictions and to assess public debt sustainability Author(s):VELINOV, Anton StoyanovDate:2013Citation:
- Florence : European University Institute, 2013
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:The first paper in this thesis deals with the issue of whether there are bubble components in stock prices. This is joint research with Wenjuan Chen (Free Universtiy Berlin). We investigate existing bivariate structural ...
Title:Three essays in applied econometrics Author(s):MEYER, MoritzDate:2013Citation:
- Florence : European University Institute, 2013
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:Institutions, circumstances and interactions between agents shape economic outcomes on the individual and aggregate level. In this thesis I explore three different set ups which combine a theoretical model and an empirical ...
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:Identification and estimation of latent variables and their effect on social and economic outcomes Author(s):EL-ATTAR VILALTA, MayssunDate:2010Citation:
- Florence : European University Institute, 2010
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:Recently, there has been strong interest among economists in the impact of social and cultural factors on economic outcomes. For instance, concepts like culture, social capital or social attitudes have been used to explain ...
Title:Dynamic factor models in estimation and forecasting Author(s):BYSTROV, VictorDate:2008Citation:
- Florence, European University Institute, 2008
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:This thesis addresses the issue of the relative performance of dynamic factor models in finite samples in the presence of structural breaks. It extends an existing literature by considering new data sets and evaluating ...
Title:Three Essays in Time Series Econometrics Author(s):KASCHA, ChristianDate:2007Citation:
- Florence, European University Institute, 2007
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:This thesis deals with different topics in time series econometrics that belong, broadly speaking, to the area of macroeconometrics. That is, topics and methods are investigated which are of interest to applied researchers ...
Title:Three essays on EMU, exchange rates and time series econometrics Author(s):BOREIKO, DmitriDate:2006Citation:
- Florence : European University Institute, 2006
Type:ThesisSeries/Number:EUI PhD theses; Department of Economics
Title:Essays on applications of I(1) and I(2) cointegrated VAR models on issues in international price parties Author(s):PEDERSEN, MichaelDate:2003Citation:
- Florence : European University Institute, 2003
Type:ThesisSeries/Number:EUI PhD theses; Department of Economics