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Structural Inference in Cointegrated Vector Autoregressive Models.pdf

Structural Inference in Cointegrated Vector Autoregressive Models.pdf

ID：33938240

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页数：197页

时间：2019-03-01

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1、Contents0Introduction31Thereducedform71.1ThestationaryVARmodel......................91.2Deterministicterms..........................111.3AlternativerepresentationsofcointegratedVARs.........161.4WeakexogeneityinstationaryVARs................201.5Identifyingrestrictions..........

2、..............241.6Estimationunderlongrunrestrictions...............291.7Restrictionsonshortrunparameters................391.8Deterministicterms..........................441.9Anempiricalexample.........................462StructuralVARs492.1Rationalexpectations...................

3、......512.2Theidenti cationofshocks.....................532.3AclassofstructuralVARs......................562.4Estimation...............................572.5Alatentvariablesframework.....................612.6Imposinglongrunrestrictions....................622.7Inferenceonimpulsere

4、sponses....................662.8Empiricalapplications........................762.8.1AsimpleIS-LMmodel....................762.8.2TheBlanchard-Quahmodel.................8112CONTENTS2.8.3TheKPSWmodel......................842.8.4ThecausalgraphmodelofSwanson-Granger(1997)....902.9Pro

5、blemswiththeSVARapproach.................933Problemsoftemporalaggregation1013.1Grangercausality...........................1033.2Asymptotics..............................1053.3Contemporaneouscausality.....................1143.4MonteCarloexperiments.......................1203.5Agg

6、regationofSVARmodels....................1234Inferenceinnonlinearmodels1294.1Inconsistencyoflinearcointegrationtests..............1324.2Ranktestsforunitroots.......................1364.3Aranktestforneglectednonlinearity................1444.4Nonlinearshortrundynamics..............

7、......1474.5Smallsampleproperties.......................1544.6Empiricalapplications........................1634.7Appendix:Criticalvalues......................1695Conclusionsandoutlook173Chapter0IntroductionInoneofthe rstattemptstoapplyregressiontechniquestoeconomicdata,Moore(191

8、4)estimatedthelawofdemand"forvariouscommoditie

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