Search for dissertations about: "The cointegrated VAR model"

Showing result 1 - 5 of 7 swedish dissertations containing the words The cointegrated VAR model.

  2. 1. VAR Models, Cointegration and Mixed-Frequency Data

    Author : Sebastian Ankargren; Johan Lyhagen; Yukai Yang; Gregor Kastner; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; vector error correction; small open economy; mixed-frequency data; Bayesian; steady state; nowcasting; state-space model; large VARs; simulation smoothing; factor stochastic volatility; R; Statistics; Statistik;

    Abstract : This thesis consists of five papers that study two aspects of vector autoregressive (VAR) modeling: cointegration and mixed-frequency data.Paper I develops a method for estimating a cointegrated VAR model under restrictions implied by the economy under study being a small open economy. READ MORE

  4. 2. Growth and Business Cycles -Swedish Manufacturing Industry 1952-2001

    Author : Camilla Josephson; Lennart Schön; Deirdre Nansen MC Closkey; Ekonomisk-historiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Ekonomisk och social historia; Social and economic history; Nutidshistoria från 1914 ; Contemporary history since 1914 ; Manufacturing industry; Institutional change; Knowledge accumulation; Opportunity costs; The cointegrated VAR model; Business cycles; Economic growth; TFP growth; Cyclical economics; Konjunkturteori; cykliska förlopp; Contemporary history;

    Abstract : This study shows that the mechanisms behind knowledge accumulation and the sources of productivity growth differ from industry to industry depending on what is produced and what technology is used. Although it is apparent to most researchers in the field that the only way to explain long-run growth in output per capita is through technological progress and accumulation of knowledge that counteract the dampening effect of diminishing returns, we are still in the dark about how such mechanisms operate. READ MORE

  5. 3. Macroeconometric Studies of Private Consumption, Government Debt and Real Exchange Rates

    Author : Jesper Hansson; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; econometrics; Economics; Real exchange rate; Public debt; Structural VAR model; Cointegration; Habits; Permanent income hypothesis PIH ; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik;

    Abstract : Advances in time series analysis during the last two decades have stimulated research in a number of areas in macroeconomics. This thesis is a compilation of five essays using cointegrated vector autoregressive (VAR) models, unit root tests and regime switching models to investigate the behavior of private consumption, public debt and the real exchange rate. READ MORE

  6. 4. Monte Carlo Results for Bootstrap Tests in Systems with Integrated-Cointegrated Variables

    Author : Panagiotis Mantalos; Statistiska institutionen; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; actuarial mathematics; programming; operations research; Statistics; Granger-causality; Monte Carlo; Cointegration; Bootstrap; Statistik; operationsanalys; programmering; aktuariematematik;

    Abstract : When we study the properties of a test procedure, two aspects are of prime importance. Firstly, we wish to know if the actual size of the test (i.e., the probability of rejecting the null when true) is close to the nominal size (used for calculating the critical values). READ MORE

  7. 5. Macroeconomic Studies on Fiscal Policy and Real Exchange Rates

    Author : Göran Hjelm; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; econometrics; economic theory; Total factor productivity; Economics; Real exchange rates; Structural VAR models; Partisan models; Fiscal policy; Fiscal contractions; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik;

    Abstract : This thesis contains four empirical macroeconomic studies and the papers may briefly be summarized as follows. In the first paper, we use both descriptive statistics and regression analysis to investigate whether movements in real exchange rates and money supply before and during fiscal contractions matter for the macroeconomic outcome. READ MORE