Given the growing dissatisfaction with exclusion and long-run restrictions in structural vector autoregressive analysis, sign restrictions are becoming increasingly popular. So far there are no techniques for validating the shocks identified via such restrictions. Although in an ideal setting the sign restrictions specify shocks of interest, sign restrictions may be invalidated by measurement...
Helmut Lütkepohl, Aleksei Netsunajev
Rom, Italien,
11.09.2012
| Workshop on "New Developments in Econometrics and Time Series"
Given the growing dissatisfaction with exclusion and long-run restrictions in structural vector autoregressive analysis, sign restrictions are becoming increasingly popular. So far there are no techniques for validating the shocks identified via such restrictions. Although in an ideal setting the sign restrictions specify shocks of interest, sign restrictions may be invalidated by measurement...
Aleksei Netsunajev, Helmut Lütkepohl
Malaga, Spanien,
27.08.2012
- 31.08.2012| 66th European Meeting of the Econometric Society ESEM
Economic agents using information that is not incorporated in the econometric model is seen as a possible reason for why nonfundamental shocks are important in econometric models. Allowing for nonfundamental shocks in structural vector autoregressive (SVAR) analysis by considering moving average (MA) representations with roots in the complex unit circle is a possible response to the problem. A...
Helmut Lütkepohl
Aarhus, Dänemark,
17.06.2012
- 19.06.2012| Nonlinear Time Series Econometrics: Conference in Honor of Timo Teräsvirta. CREATES, Aarhus University
Given the growing dissatisfaction with exclusion and long-run restrictions in structural vector autoregressive analysis, sign restrictions are becoming increasingly popular. So far there are no techniques for validating the shocks identified via such restrictions. Although in an ideal setting the sign restrictions specify shocks of interest, sign restrictions may be invalidated by measurement...
Helmut Lütkepohl, Aleksei Netsunajev
Hannover,
25.04.2012
| Seminar: Institut für Statistik, Leibniz-Universität Hannover
Given the growing dissatisfaction with exclusion and long-run restrictions in structural vector autoregressive analysis, sign restrictions are becoming increasingly popular. So far there are no techniques for validating the shocks identified via such restrictions. Although in an ideal setting the sign restrictions specify shocks of interest, sign restrictions may be invalidated by measurement...
Helmut Lütkepohl, Aleksei Netsunajev
Frankfurt am Main,
27.01.2012
| Seminar: Deutsche Bundesbank