Estimation of structural vector autoregressive model (SVAR)
A No-Arbitrage Structural Vector Autoregressive Model of the UK Yield Curve
... nance model, there is only one latent factor, and thus we assume that only one yield, a 1-month rate, r t ; is observed ...The vector Y t Er of the remaining bond yields is instead observed with ...
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A structural vector autoregressive model of technical efficiency and delays with an application to Chinese airlines
... joint structural autoregressive process. This model is used to investigate whether technical efficiency causes flight punctuality or the other way ...The model, however, yields a non-trivial ...
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Estimation of a Structural Vector Autoregression Model Using Non-Gaussianity
... of structural vector autoregressive (SVAR) models popular in econometric theory, in which numerous attempts have been made for its estimation, see, for example, Swanson and Granger (1997), ...
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Structural Breaks in the Cointegrated Vector Autoregressive Model
... out structural breaks. Note that the p-value is invalid because model 5 is strongly rejected against model ...parameters. Model 5 is the unrestricted model (with constant parameters) ...
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Bayesian analysis of a vector autoregressive model with multiple structural breaks
... a vector autoregressive model with multiple structural breaks based on MCMC simulation methods, extending a method developed for the univariate case by Wang and Zivot ...of structural ...
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Penalized Estimation of Panel Vector Autoregressive Models
... penalized estimation reduces computational burdens by relying on a coordinate descent algorithm compared to Bayesian alternatives for PVAR models which use Markov Chain Monte Carlo algorithms that are limited for ...
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Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks
... factor vector autoregressive model (F-VAR) framework, is ...factor model analysis proposed in [2], it is assumed that a small number of structural shocks are responsible for the ...
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Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks
... February 2011 Abstract In the paper the fractionally integrated heteroskedastic factor vec- tor autoregressive (FI-HF-VAR) model is introduced. The proposed approach is characterized by minimal pretesting ...
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Bayesian analysis of the predictive power of the yield curve using a vector autoregressive model with multiple structural breaks
... 4 Estimation Results We use a VAR model with structural breaks in the intercept term µ and the volatility Ω described in (3) to analyze the predictive power of the yield curve on output ...this ...
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The Effects Of Monetary Policy Shocks In Peru: Semi-Structural Identification Using A Factor-Augmented Vector Autoregressive Model
... the estimation results for Models 1, 2, 3 and 4 as proposed by Bernanke and Mihov (1998) and the corresponding test of overidentifying ...with Model 2, where d 0 ...of Model 1 in all ...
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Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis
... ML estimation conditional on the first-step cointegration relation is ...cointegrating vector. It will be seen, however, that the general MS-VAR model may not be needed anyway in our application but ...
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A Structural Vector Autoregressive (SVAR) model for the Hungarian labour market
... a Structural Vector Autoregressive (SVAR) model with particular attention to the Hungarian labour ...of structural shocks is based on sign ...four structural shocks: a labour ...
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Identification in structural vector autoregressive models with structural changes
... uses structural changes and di¤erent het- eroskedasticity regimes found in the data constructively to improve the identi…cation of structural parameters in Structural Vector Autoregressions ...
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Robust estimation of the vector autoregressive model by a trimmed least squares procedure.
... In this paper we propose a robust procedure to estimate vector autoregressive models, to select their order, and to construct confidence bounds around the impulse [r] ...
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Robust estimation of the vector autoregressive model by a least trimmed squares procedure.
... robust procedure is precise in presence than in absence of innovational out- liers! This is due to the fact that an innovational outlier in the time series results in a single vertical outlier, but also in several good ...
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PC VAR Estimation of Vector Autoregressive Models
... PC-VAR estimation of vector autoregressive models (VAR) is ...The estimation strategy success- fully lessens the curse of dimensionality affecting VAR models, when estimated using sample sizes ...
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Model uncertainty in panel vector autoregressive models
... unrestricted model and a large number of potentially interesting restricted ...restricted model. These allow for the joint estimation of the PVAR parameters in each model along with the ...
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Model Uncertainty in Panel Vector Autoregressive Models
... Finally we carry out an impulse response analysis to investigate spillovers of financial shocks across the euro area. For the sake of brevity, we focus on a single shock and ask what would happen to interest rate spreads ...
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The Impact of the U.S. Political Pressure on the RMB Exchange Rate-Based on the Structural Vector Autoregressive Model
... the structural vector autoregressive model (SVAR ) to study the ...econometric model, which includes foreign exchange reserves, monetary policy, import and export, the actual rate ...
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In search of Q: results on identification in structural vector autoregressive models
... forth recently by Arias, Caldara, and Rubio-Ram´ırez (2015) (Scheme II). According to our results, the SVAR impulse responses point towards a mildly positive asset price response to an increase in the monetary policy ...
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