Work2009

Econometric Analysis with Vector Autoregressive Models

80 citations0/0 files stored

No readable copy stored yet — this record is metadata only.

Monetary Policy and Economic Impact Forecasting Techniques and Applications Diverse Scientific and Economic Studies

Abstract

This chapter contains sections titled: Introduction VAR processes Estimation of VAR models Model specification Model checking Forecasting Causality analysis Structural VARs and impulse response analysis Conclusions and extensions Acknowledgments References

Citations in this library

Stored only when both papers are in the corpus — 80 citations exist upstream.

References

1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1988Statistical analysis of cointegration vectors 1980Macroeconomics and Reality 1995Statistical inference in vector autoregressions with possibly integrated processes 2005Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances 2005Time Varying Structural Vector Autoregressions and Monetary Policy

Cited by

2018How do oil prices, macroeconomic factors and policies affect the market for renewable energy?2017Forecasting Crude Oil Prices: A Comparison Between Artificial Neural Networks and Vector Autoregressive Models 2012Vector Autoregressive Models 2022Examining the causal relationship between bike-share and public transit in response to the COVID-19 pandemic 2013Implementation of multivariate cumulative sum control charts in mastitis and lameness monitoring 2005BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING

Imported from OpenAlex (CC0) — nothing here is generated.