Robustness checks for the SVAR model
Exchange Rate Pass-through in ASEAN Countries: An Application of the SVAR Model
... of robustness checks. In the base model, the interest rate precedes the output gap, implying that monetary shocks influence a country’s exchange rate and ...the model is: the oil price, the ...
28
On the Robustness of Robustness Checks of the Environmental Kuznets Curve
... the Robustness of Robustness Checks of the Environmental Kuznets Curve Summary Since its first inception in the debate on the relationship between environment and growth in 1992, the Environmental ...
37
A note on martingale transforms for model checks
... Abstract Martingale transforms are a well known tool to derive asymptotically distribution free tests for statistics based on empirical processes. Since its introduction by Khmaladze (1981) they have been frequently ...
18
A Structural Vector Autoregressive (SVAR) model for the Hungarian labour market
... Jelen tanulmányban a magyar munkaerőpiac egy strukturális vektor-autoregresszív (SVAR) modelljét mutatjuk be. A négy strukturális sokkot – úgymint munkakínálati, aggregált keresleti, aggregált kínálati és ...
30
An Introduction into the SVAR Methodology: Identification, Interpretation and Limitations of SVAR models
... a SVAR model, on the other hand, both the output and money equations are ...the SVAR methodology to an explicit restriction on Γ so that this matrix fulfills the condition ΓΣ u Γ ' = Σ e ...a ...
45
A model-based approach for robustness testing
... A robustness requirement aims at ensuring that the software will preserve an “acceptable behavior” under non nominal execution conditions. This notion of “acceptable behavior” may not only correspond to safety ...
16
Fear of Model Misspecification and the Robustness Premium
... higher robustness premia, when the mitigation of model misspeci…cation de- pends on a low productivity of time relative to human capital, robust choices increase welfare in the ...of model ...
33
Reality checks and nested forecast model comparisons
... best model into account, most of the tests compared against our proposed bootstrap critical values continue to reject the null of equal forecast ...MSE model remains signi…cantly better than the benchmark: ...
42
Identification of credit supply shocks in a Bayesian SVAR model of the Hungarian economy
... Let us consider the identification of the first type of credit supply shock. Usually, if macroeconomic risk and the probability of future defaults increases then financial intermediaries are reluctant to extend credit. ...
26
Robustness of equilibrium in the Kyle model of informed speculation
... Proof: See Appendix. The proof proceeds in two steps. First, we prove that the equilibrium expected payoffs of a market maker do not change as a result of a small variation of her own conjecture only if the equilibrium ...
25
A note on robustness in Merton's model of intertemporal consumption
... described. Robustness leads generally to focusing on worst case scenarios over a re- stricted set of appropriately de ned relevant model misspeci ...of robustness we model asset prices that ...
17
Analyzing Contract Robustness through a Model of Commitments
... Commerce is driven by business contracts. Each party to a business contract must be assured that the contract is robust, in the sense that it fulfills its goals and avoids undesirable outcomes. However, real-life ...
21
A Robustness Testing Approach for an Object Oriented Model
... test model of object oriented (OO) programs for testing conformity and robustness from formal ...a robustness approach based on invalid input data that do not satisfy the precondition constraint of ...
19
Model Checks Using Residual Marked Empirical Processes
... 3. BOOTSTRAP APPROXIMATION OF RESIDUAL MARKED EMPIRICAL PROCESSES We have seen that the asymptotic null distribution of continuous functionals of R 1 n,w depends in a complicated way of the DGP and the specification ...
44
Housing and Consumption in New Zealand: A Financial Accelerator DSGE Model and SVAR Analysis
... APV model was constructed in a closed economy ...the model more applicable to a small open economy such as New ...this model focuses on certain key features of the New Zealand economy in order to ...
189
Robustness of the BYM model in absence of spatial variation in the residuals
... BYM model performed well on risks estimations except when the true residuals were resulting from a mixture ...BYM model is the least ...particular model with France mainland as study ...the ...
8
Full robustness to outliers in a Bayesian location-scale model
... The use of heavy-tailed distributions is a valuable tool in devel- oping robust Bayesian procedures, limiting the influence of outliers on posterior inference. In this paper, the behavior of the posterior density for a ...
22
Model checks for nonparametric regression with missing data : a comparative study
... (Received 00 Month 20XX; final version received 00 Month 20XX) This paper analyzes the behavior of the goodness of fit tests for regression models. To this end, it uses statistics based on an estimation of the integrated ...
19
Model Checks in Inverse Regression Models with Convolution-Type Operators
... for the case of a direct regression model. Closely related to these approaches are the results in Paparoditis (2000) and Dette and Spreckelsen (2003) which consider goodness-of-fit testing problems for the ...
28
Credit and Monetary Policy: An Australian SVAR
... Unit root tests suggest that most, if not all, of the variables included in the model are non-stationary, I(1), processes. These tests are available as an unpublished appendix upon request. This raises the issue ...
32