1,720,979 research outputs found
Inizialization of Maximum Likelihood algorithms for cointegrated I(1) and I(2) VAR models
No full textIdentification of Cointegrating Relations in I(2) Vector Autoregressive Models
No full textThis paper discusses identification within a new parametrization for I(2) systems, where the integral and proportional control cointegrating relations are not necessarily orthogonal. The new parametrization, while equivalent to previously proposed ones, gives more flexibility in choosing the variables to include in first differences in the integral and proportional control term. We discuss the joint identification of the cointegrating relations, providing rank and order conditions. We discuss likelihood estimation, and propose a simple alternating algorithm for likelihood-maximization, under the cases of under- exact- and over-identification. An illustration on US consumption is also presented
Identification of Cointegrating Relations in I(2) Vector AutoRegressive Models
No full textThis paper discusses identification of systems of cointegrating relations in I(2) vector autoregressive models. This is accomplished within a new parametrization which, while equivalent to previously proposed ones, is more flexible. Rank and order conditions for identification are provided. We discuss likelihood estimation, and provide an illustration on a model for US manufacturing inventories
Minimality of state space solutions of DSGE models and existence conditions for their VAR representation
Full text linkStandard solution methods of DSGE models do not necessarily deliver minimal state space forms. When the ABCD form is non-minimal, the conditions in the literature are not necessary for the existence of a VAR representation of the observables. In this paper we present necessary and sufficient conditions that are valid in general, and hence can be applied to minimal and non-minimal ABCD forms. If the state space form is minimal, our conditions coincide with those in the literature. These results also clarify that it is possible to have unstable eigenvalues together with a (possibly finite) VAR representation of the observables.JRC.DDG.01 - Econometrics and applied statistic
Privacy in Microdata Release: Challenges, Techniques, and Approaches
Full text linkReleasing and disseminating useful microdata while ensuring that no personal or sensitive information is improperly exposed is a complex problem, heavily investigated by the scientific community in the past couple of decades. Various microdata protection approaches have then been proposed, achieving different privacy requirements through appropriate protection techniques. This chapter discusses the privacy risks that can arise in microdata release and illustrates some well-known privacy-preserving techniques and approaches
Speed of adjustment in cointegrated systems
No full textThis paper discusses summary measures for the speed of adjustment in possibly
cointegrated Vector Autoregressive Processes (VAR). In particular we propose long-
run half-lives, based on interim and total multipliers. We discuss their relation with
Granger-noncausality and other types of half-life, which are shown to convey di¤erent
information, except in the univariate AR(1) case. We present likelihood-based inference
on long-run half-lives, regarded as discrete functions of parameters in the VAR model.
It is shown how asymptotic con�dence regions can be de�ned. An empirical illustration
concerning speed of adjustment to purchasing-power parity is providedJRC.G.3 - Econometrics and applied statistic
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