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Autor
Wróblewska Justyna (Cracow University of Economics, Poland / Kolegium Ekonomii, Finansów i Prawa)
Tytuł
Bayesian Analysis of Weak Form Polynomial Reduced Rank Structures in VEC Models
Źródło
Central European Journal of Economic Modelling and Econometrics (CEJEME), 2012, vol. 4, nr 4, s. 253-267, rys., tab., bibliogr. 20 poz.
Słowa kluczowe
Kointegracja, Ekonometria bayesowska, Model wektorowej korekty błędem
Cointegration, Bayesian econometric, Vector error correction model (VECM)
Uwagi
summ.; Klasyfikacja JEL: C11, C32, C53
Abstrakt
The main goal of the paper is the Bayesian analysis of weak form polynomial serial correlation common features together with cointegration. In the VEC model the serial correlation common feature leads to an additional reduced rank restriction imposed on the model parameters. After the introduction and discussion of the model, the methods will be illustrated with an empirical investigation of the price-wage nexus in the Polish economy. Additionally, consequences of imposing such additional short-run restrictions for permanent-transitory decomposition will be discussed. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Pełny tekst
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Bibliografia
Pokaż
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  5. Cubadda G. (2007), A unifying framework for analysing common cyclical features in cointegrated time series, Computational Statistics & Data Analysis 52, 896906.
  6. Cubadda G., Hecq A. (2001), On non-contemporaneous short-run co-movements, Economics Letters 73, 389-397.
  7. Engle R.F., Kozicki S. (1993), Testing for common features, Journal of Business and Economic Statistics 11, 369-380.
  8. Ericsson N.R. (1993), Comment (to the paper Testing for common features by Engle and Kozicki), Journal of Business and Economic Statistics 11, 380-383.
  9. Fischer S. (1977), Long-term contracts, rational expectations, and the optimal money supply rule, Journal of Political Economy 85, 191-206.
  10. Hecq A., Palm F.C., Urbain J.P. (2006), Common cyclical features analysis in VAR models with cointegration, Journal of Econometrics 132, 117-141.
  11. Issler J.V., Vahid F. (2001), Common cycles and the importance of transitory shocks to macroeconomic aggregates, Journal of Monetary Economics 47, 449475.
  12. Johansen S. (1996), Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, second edition.
  13. Juselius K. (2007), The Cointegrated VAR Model. Methodology and Applications, Oxford University Press, New York.
  14. Koop G., León-González R., Strachan R. (2010), Efficient posterior simulation for cointegrated models with priors on the cointegration space, Econometric Reviews 29, 224-242.
  15. Lütkepohl H. (2007), New Introduction to Multiple Time Series Analysis, Springer-Verlag, Berlin-Heidelberg.
  16. Taylor J.B. (1980), Aggregate dynamics and staggered contracts, Journal of Political Economy 88, 1-23.
  17. Vahid F., Engle R.F. (1993), Common trends and common cycles, Journal of Applied Econometrics 8, 341-360.
  18. Vahid F., Engle R.F. (1997), Codependent cycles, Journal of Econometrics 80, 199-221.
  19. Villani M. (2006), Bayesian point estimation of the cointegration space, Journal of Econometrics 134, 645-664.
  20. Wróblewska J. (2011), Bayesian analysis of weak form reduced rank structure in VEC models, Central European Journal of Economic Modelling and Econometrics 3, 169-186.
Cytowane przez
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ISSN
2080-0886
Język
eng
URI / DOI
http://dx.doi.org/DOI: 10.24425/cejeme.2012.119286
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