کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098885 | 1376967 | 2012 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Are spectral estimators useful for long-run restrictions in SVARs?
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Are spectral estimators useful for long-run restrictions in SVARs? Are spectral estimators useful for long-run restrictions in SVARs?](/preview/png/5098885.png)
چکیده انگلیسی
No, not really. In response to concerns about the reliability of SVARs, one proposal has been to combine OLS estimates of a VAR with non-parametric estimates of the spectral density. But as shown here, spectral estimators are no panacea for implementing long-run restrictions. They can suffer from small sample and misspecification biases just as VARs do. As a novelty, this paper uses a spectral factorization to ensure a correct representation of the data's variance. But this cannot overcome the basic small sample issues, which arise when trying to estimate long-run properties from relatively short samples of time-series data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 36, Issue 12, December 2012, Pages 1831-1844
Journal: Journal of Economic Dynamics and Control - Volume 36, Issue 12, December 2012, Pages 1831-1844
نویسندگان
Elmar Mertens,