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The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study

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  • Vahid, F.

    ()

  • Issler, J.V.

Abstract

Despite the commonly held belief that aggregate data display short-run comovement, there has been little discussion about the econometric consequences of this feature of the data. We use exhaustive Monte-Carlo simulations to investigate the importance of restrictions implied by common-cyclical features for estimates and forecasts based on vector autoregressive models.

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File URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2001/wp2-01.pdf
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Bibliographic Info

Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 2/01.

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Length: 20 pages
Date of creation: Mar 2001
Date of revision:
Handle: RePEc:msh:ebswps:2001-2

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Keywords: Reduced rank models; model selection criteria; forecasting; variance decomposition;

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  9. repec:fth:harver:1435 is not listed on IDEAS
  10. Vahid, F. & Issler, J.V., 2001. "The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers 2/01, Monash University, Department of Econometrics and Business Statistics.
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