کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7356127 | 1478219 | 2016 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Qual var revisited: good forecast, bad story
ترجمه فارسی عنوان
کالج مجدد: پیش بینی خوب، داستان بد
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
Due to the recent financial crisis, the interest in econometric models that allow to incorporate binary variables (such as the occurrence of a crisis) experienced a huge surge. This paper evaluates the performance of the Qual VAR, originally proposed by Dueker (2005). The Qual VAR is a VAR model including a latent variable that governs the behavior of an observable binary variable. While we find that the Qual VAR performs reasonable well in forecasting (outperforming a probit benchmark), there are substantial identification problems even in a simple VAR specification. Typically, identification in economic applications is far more difficult than in our simple benchmark. Therefore, when the economic interpretation of the dynamic behavior of the latent variable and the chain of causality matter, use of the Qual VAR is inadvisable.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Applied Economics - Volume 19, Issue 2, November 2016, Pages 293-321
Journal: Journal of Applied Economics - Volume 19, Issue 2, November 2016, Pages 293-321
نویسندگان
Makram El-Shagi, Gregor von Schweinitz,