A simple test of exogeneity for recursively structured VAR models
Author
Abstract
Suggested Citation
DOI: 10.1080/00036840500366270
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Hakan Berument & Nukhet Dogan & Aysit Tansel, 2004.
"Economic Performance and Unemployment: Evidence from an Emerging Economy - Turkey,"
Working Papers
0409, Economic Research Forum, revised 01 Aug 2004.
- Berument, Hakan & Dogan, Nukhet & Tansel, Aysit, 2005. "Economic Performance and Unemployment: Evidence from an Emerging Economy - Turkey," IZA Discussion Papers 1614, Institute of Labor Economics (IZA).
- Cushman, David O. & Zha, Tao, 1997.
"Identifying monetary policy in a small open economy under flexible exchange rates,"
Journal of Monetary Economics, Elsevier, vol. 39(3), pages 433-448, August.
- David O. Cushman & Tao Zha, 1995. "Identifying monetary policy in a small open economy under flexible exchange rates," FRB Atlanta Working Paper 95-7, Federal Reserve Bank of Atlanta.
- Dolado, Juan J. & Lütkepohl, Helmut, 1994.
"Making Wald Tests Work for Cointegrated Var Systems,"
SFB 373 Discussion Papers
1994,44, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Dolado, J.J. & Lutkepohl, H., 1994. "Making Wald Tests Work for Cointegrated Var Systems," Papers 9424, Centro de Estudios Monetarios Y Financieros-.
- Juan J. Dolado & Helmut Lütkepohl, 1994. "Making Wald Tests Work for Cointegrated VAR Systems," Working Papers wp1994_9424, CEMFI.
- Hakan Berument & Zubeyir Kilinc, 2004. "The effect of foreign income on economic performance of a small-open economy: evidence from Turkey," Applied Economics Letters, Taylor & Francis Journals, vol. 11(8), pages 483-488.
- Ramon Moreno, 1992. "Macroeconomic shocks and business cycles in Australia," Economic Review, Federal Reserve Bank of San Francisco, pages 34-52.
- Burbidge, John & Harrison, Alan, 1984.
"Testing for the Effects of Oil-Price Rises Using Vector Autoregressions,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(2), pages 459-484, June.
- John Burbidge & Alan Harrison, 1982. "Testing for the Effects of Oil-Price Rises Using Vector Autoregressions," School of Economics and Public Policy Working Papers 1982-01, University of Adelaide, School of Economics and Public Policy.
- Matthew D. Shapiro & Mark W. Watson, 1988.
"Sources of Business Cycle Fluctuations,"
NBER Chapters, in: NBER Macroeconomics Annual 1988, Volume 3, pages 111-156,
National Bureau of Economic Research, Inc.
- Matthew D. Shapiro & Mark W. Watson, 1988. "Sources of Business Cycle Fluctuations," NBER Working Papers 2589, National Bureau of Economic Research, Inc.
- Matthew D. Shapiro & Mark W. Watson, 1988. "Sources of Business Cycle Fluctuations," Cowles Foundation Discussion Papers 870, Cowles Foundation for Research in Economics, Yale University.
- Mardi Dungey & Adrian Pagan, 2000. "A Structural VAR Model of the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 76(235), pages 321-342, December.
- Rebeca Jimenez-Rodriguez & Marcelo Sanchez, 2005.
"Oil price shocks and real GDP growth: empirical evidence for some OECD countries,"
Applied Economics, Taylor & Francis Journals, vol. 37(2), pages 201-228.
- Jiménez-Rodríguez, Rebeca & Sánchez, Marcelo, 2004. "Oil price shocks and real GDP growth: empirical evidence for some OECD countries," Working Paper Series 362, European Central Bank.
- Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January.
- Dungey, Mardi & Pagan, Adrian, 2000. "A Structural VAR Model of the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 76(235), pages 321-342, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jorge Andrés Tamayo Castaño, 2012. "Asimetrías en la demanda por trabajo en Colombia: el papel del ciclo económico," Borradores de Economia 9286, Banco de la Republica.
- Jorge Andrés Tamayo Castaño, 2012. "Asimetrías en la demanda por trabajo en Colombia: el papel del ciclo económico," Borradores de Economia 689, Banco de la Republica de Colombia.
- Tamayo Castaño, Jorge Andrés, 2012. "Asimetrías en la demanda por trabajo en Colombia : el papel del ciclo económico," Chapters, in: Arango-Thomas, Luis Eduardo & Hamann-Salcedo, Franz Alonso (ed.), El mercado de trabajo en Colombia : hechos, tendencias e instituciones, chapter 12, pages 487-542, Banco de la Republica de Colombia.
- Chaiechi, Taha, 2012. "Financial development shocks and contemporaneous feedback effect on key macroeconomic indicators: A post Keynesian time series analysis," Economic Modelling, Elsevier, vol. 29(2), pages 487-501.
- Nguyen, Trang & Chaiechi, Taha & Eagle, Lynne & Low, David, 2020. "Dynamic impacts of SME stock market development and innovation on macroeconomic indicators: A Post-Keynesian approach," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 327-347.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Muhammad Arshad Khan & Ayaz Ahmed, 2011. "Macroeconomic Effects of Global Food and Oil Price Shocks to the Pakistan Economy: A Structural Vector Autoregressive (SVAR) Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 50(4), pages 491-511.
- Alfred A. Haug & Christie Smith, 2012.
"Local Linear Impulse Responses for a Small Open Economy,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(3), pages 470-492, June.
- Alfred A. Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Working Papers 0707, University of Otago, Department of Economics, revised Apr 2007.
- Alfred A Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Reserve Bank of New Zealand Discussion Paper Series DP2007/09, Reserve Bank of New Zealand.
- Narayanan Krishna Kumar, 2020. "Brent Prices and Its Impact on Financial Markets of BRIC Nations," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 19(1), pages 91-108, June.
- Buckle, Robert A. & Kim, Kunhong & Kirkham, Heather & McLellan, Nathan & Sharma, Jarad, 2007. "A structural VAR business cycle model for a volatile small open economy," Economic Modelling, Elsevier, vol. 24(6), pages 990-1017, November.
- Mai, Nhat Chi, 2014. "Monetary transmission mechanism analysis in a small, open economy: the case of Vietnam," OSF Preprints ybc8p, Center for Open Science.
- Yildirim, Zekeriya, 2022. "Global financial risk, the risk-taking channel, and monetary policy in emerging markets," Economic Modelling, Elsevier, vol. 116(C).
- Hsiao Chink Tang, 2006. "The Relative Importance Of Monetary Policy Transmission Channels In Malaysia," CAMA Working Papers 2006-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Mala Raghavan & Mardi Dungey, 2015.
"Should ASEAN-5 monetary policy-makers act pre-emptively against stock market bubbles?,"
Applied Economics, Taylor & Francis Journals, vol. 47(11), pages 1086-1105, March.
- Raghavan, Mala & Dungey, Mardi, 2014. "Should ASEAN-5 Monetary Policymakers Act Pre-emptively Against Stock Market Bubbles?," Working Papers 2014-04, University of Tasmania, Tasmanian School of Business and Economics, revised 2014.
- Mansur, Alfan & Liu, Yichang & Zaman, Kazi Arif Uz, 2015. "Portfolio Shocks and the Dynamics of the Real Economy of Australia (1980-2014): A Structural Vector Autoregressive Model Approach," MPRA Paper 93992, University Library of Munich, Germany, revised 17 May 2015.
- Catalán, Mario & Hoffmaister, Alexander W., 2022.
"When banks punch back: Macrofinancial feedback loops in stress tests,"
Journal of International Money and Finance, Elsevier, vol. 124(C).
- Mr. Mario Catalan & Alexander W. Hoffmaister, 2020. "When Banks Punch Back: Macrofinancial Feedback Loops in Stress Tests," IMF Working Papers 2020/072, International Monetary Fund.
- Togonidze, Sophio & Kočenda, Evžen, 2022.
"Macroeconomic responses of emerging market economies to oil price shocks: An analysis by region and resource profile,"
Economic Systems, Elsevier, vol. 46(3).
- Sophio Togonidze & Evzen Kocenda, 2020. "Macroeconomic Responses of Emerging Market Economies to Oil Price Shocks: Analysis by Region and Resource Profile," Working Papers IES 2020/35, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2020.
- Sophio Togonidze & Evžen Kočenda, 2022. "Macroeconomic Responses of Emerging Market Economies to Oil Price Shocks: An Analysis by Region and Resource Profile," FFA Working Papers 4.005, Prague University of Economics and Business, revised 25 Apr 2022.
- Mr. Sebastian Sosa & Mr. Paul Cashin, 2009. "Macroeconomic Fluctuations in the Caribbean: The Role of Climatic and External Shocks," IMF Working Papers 2009/159, International Monetary Fund.
- Johannes W. Fedderke, 2022.
"Identifying supply and demand shocks in the South African Economy, 1960–2020,"
South African Journal of Economics, Economic Society of South Africa, vol. 90(3), pages 349-389, September.
- Johannes W. Fedderke, 2021. "Identifying Supply and Demand Shocks in the South African Economy 19602020," Working Papers 11012, South African Reserve Bank.
- Philip Liu, 2007. "Stabilizing The Australian Business Cycle: Good Luck Or Good Policy?," CAMA Working Papers 2007-24, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Mohd Azlan Shah Saidi & Zulkefly Abdul Karim & Zurina Kefeli@Zulkefli, 2018. "Impact of China on Malaysian Economy: Empirical Evidence of Sign-Restricted Structural Vector Autoregression (SVAR) Model," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 14(2), pages 25-44.
- Zulkefly Abdul Karim & Bakri Abdul Karim, 2016. "Foreign Shocks, Monetary Policy, and Macroeconomic Fluctuations in a Small Open Economy: A SVAR Study of Malaysia," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(3), pages 45-67, JUNE.
- Malika Akhatova & Mohd Pisal Zainal & Mansor H. Ibrahim, 2016. "Banking Models and Monetary Transmission Mechanisms in Malaysia: Are Islamic Banks Different?," Economic Papers, The Economic Society of Australia, vol. 35(2), pages 169-183, June.
- Zulkefly Abdul Karim & Mohd Azlan Shah Zaidi, 2015. "Monetary Policy, Firm Size and Equity Returns in An Emerging Market: Panel Evidence of Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 11(2), pages 29-55.
- Dungey, Mardi & Vehbi, Tugrul, 2015. "The influences of international output shocks from the US and China on ASEAN economies," Journal of Asian Economics, Elsevier, vol. 39(C), pages 59-71.
- Sophio Togonidze & Evzen Kocenda, 2022.
"Macroeconomic Implications of Oil-Price Shocks to Emerging Economies: A Markov Regime-Switching Approach,"
Working Papers IES
2022/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2022.
- Sophio Togonidze & Evžen Kočenda, 2022. "Macroeconomic implications of oil price shocks to emerging economies: a Markov regime-switching approach," FFA Working Papers 4.009, Prague University of Economics and Business, revised 06 Sep 2022.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:37:y:2005:i:20:p:2307-2313. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.