کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097620 | 1376599 | 2006 | 23 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
VARs, common factors and the empirical validation of equilibrium business cycle models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: VARs, common factors and the empirical validation of equilibrium business cycle models VARs, common factors and the empirical validation of equilibrium business cycle models](/preview/png/5097620.png)
چکیده انگلیسی
Equilibrium business cycle models have typically less shocks than variables. As pointed out by Altug (1989) International Economic Review 30 (4) 889-920 and Sargent (1989) The Journal of Political Economy 97 (2) 251-287, if variables are measured with error, this characteristic implies that the model solution for measured variables has a factor structure. This paper compares estimation performance for the impulse response coefficients based on a VAR approximation to this class of models and an estimation method that explicitly takes into account the restrictions implied by the factor structure. Bias and mean-squared error for both factor- and VAR-based estimates of impulse response functions are quantified using, as data-generating process, a calibrated standard equilibrium business cycle model. We show that, at short horizons, VAR estimates of impulse response functions are less accurate than factor estimates while the two methods perform similarly at medium and long run horizons.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 132, Issue 1, May 2006, Pages 257-279
Journal: Journal of Econometrics - Volume 132, Issue 1, May 2006, Pages 257-279
نویسندگان
Domenico Giannone, Lucrezia Reichlin, Luca Sala,