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Some Issues In Using Vars For Macroeconometric Research

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  • Renee Fry

    ()

  • Adrian Pagan

    ()

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Bibliographic Info

Paper provided by Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University in its series CAMA Working Papers with number 2005-19.

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Length: 38 pages
Date of creation: Aug 2005
Date of revision:
Handle: RePEc:een:camaaa:2005-19

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  1. Fabio Canova & Gianni De Nicolo, 2000. "Monetary disturbances matter for business fluctuations in the G-7," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 660, Board of Governors of the Federal Reserve System (U.S.).
  2. Gert Peersman, 2005. "What caused the early millennium slowdown? Evidence based on vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 20(2), pages 185-207.
  3. Faust, Jon & Leeper, Eric M, 1997. "When Do Long-Run Identifying Restrictions Give Reliable Results?," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 15(3), pages 345-53, July.
  4. Harding, Don & Pagan, Adrian, 2003. "A comparison of two business cycle dating methods," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 27(9), pages 1681-1690, July.
  5. Giordani, Paolo, 2000. "An alternative explanation of the price puzzle," Working Paper Series in Economics and Finance, Stockholm School of Economics 414, Stockholm School of Economics, revised 06 Dec 2000.
  6. Wallis, Kenneth F, 1977. "Multiple Time Series Analysis and the Final Form of Econometric Models," Econometrica, Econometric Society, Econometric Society, vol. 45(6), pages 1481-97, September.
  7. Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2006. "VARs, common factors and the empirical validation of equilibrium business cycle models," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles 2013/10127, ULB -- Universite Libre de Bruxelles.
  8. ZELLNER, Arnold & PALM, Franz, . "Time series analysis and simultaneous equation econometric models," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -173, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  9. Gali, Jordi, 1992. "How Well Does the IS-LM Model Fit Postwar U.S. Data," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 107(2), pages 709-38, May.
  10. Lippi, Marco & Reichlin, Lucrezia, 1994. "VAR analysis, nonfundamental representations, blaschke matrices," Journal of Econometrics, Elsevier, Elsevier, vol. 63(1), pages 307-325, July.
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Citations

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Cited by:
  1. Magdalena Morgese Borys & Roman Horvath, 2007. "The Effects of Monetary Policy in the Czech Republic: An Empirical Study," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economic Institute, Prague wp339, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  2. Crespo Cuaresma , Jesus & Fernandez Amador, Octavio, 2010. "Business cycle convergence in EMU: A second look at the second moment," Working Papers in Economics and Finance, University of Salzburg 2010-13, University of Salzburg.
  3. Ren�e Fry & Adrian Pagan, 2011. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 49(4), pages 938-60, December.
  4. Michal Franta & Jozef Baruník & Roman Horváth & Katerina Smídková, 2014. "Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 10(1), pages 159-188, March.
  5. Noss, Joseph & Toffano, Priscilla, 2014. "Estimating the impact of changes in aggregate bank capital requirements during an upswing," Bank of England working papers, Bank of England 494, Bank of England.
  6. Philip Liu, 2007. "Stabilizing The Australian Business Cycle: Good Luck Or Good Policy?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University 2007-24, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  7. Francesco Giuli & Massimiliano Tancioni, 2012. "Prince-setting, monetary policy and the contractionary effects of productivity improvements," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre 0161, Department of Economics - University Roma Tre.
  8. Gupta, Rangan & Modise, Mampho P., 2013. "Does the source of oil price shocks matter for South African stock returns? A structural VAR approach," Energy Economics, Elsevier, Elsevier, vol. 40(C), pages 825-831.
  9. Francesco Giuli & Massimiliano Tancioni, 2010. "Contractionary Effects of Supply Shocks: Evidence and Theoretical Interpretation," Working Papers, University of Rome La Sapienza, Department of Public Economics 131, University of Rome La Sapienza, Department of Public Economics.
  10. Dungey, Mardi & Fry, Renée, 2009. "The identification of fiscal and monetary policy in a structural VAR," Economic Modelling, Elsevier, Elsevier, vol. 26(6), pages 1147-1160, November.
  11. Natasa Erjavec & Boris Cota & Sasa Jaksic, 2012. "Sign restriction approach to macro stress-testing of the Croatian banking system," Financial Theory and Practice, Institute of Public Finance, Institute of Public Finance, vol. 36(4), pages 395-412.
  12. Adrian R. Pagan & M. Hashem Pesaran, 2008. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks," Discussion Papers, School of Economics, The University of New South Wales 2008-04, School of Economics, The University of New South Wales.

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