Implementing optimal control in cointegrated I(I) structural VAR models:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
European Central Bank
2003
|
| Schriftenreihe: | Working paper series / European Central Bank
288 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 57 S. |
Internformat
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| 245 | 1 | 0 | |a Implementing optimal control in cointegrated I(I) structural VAR models |c by Francesca V. Monti |
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Datensatz im Suchindex
| _version_ | 1805068829058924544 |
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| adam_text |
CONTENTS
ABSTRACT
4
NON
TECHNICAL
SUMMARY
5
I
INTRODUCTION
7
2
BRIDGING
OPTIMAL
CONTROL
AND
COINTEGRATED
STRUCTURAL
VARS
8
2.
1
COINTEGRATED
VARS
AND
THE
COMMON
TRENDS
APPROACH
TO
STRUCTURALISATION
8
2.2
THE
STANDARD
LINEAR
QUADRATIC
GAUSSIAN
CONTROL
PROBLEM
10
2.3
BRIDGING
THE
TWO
THEORIES
12
3
CONTROLLING
COINTEGRATED
VARS:
CONSEQUENCES
OFTHE
PRESENCE
OF
UNITROOTSONTHE
FEASIBILITY
OF
CONTROL
1
5
3.1
CASE
I:
THE
SYSTEM
IS
STABILIZABLE
16
3.2
CASE
2:
THE
SYSTEM
IS
PARTIALLY
STABILIZABLE
18
3.3
CASE
3:
THE
RANK
OF
THE
OPEN-LOOP
SYSTEM
CANNOT
BE
AUGMENTED
20
4
CONTROLLING
STRUCTURAL
MODELS:
THE
POLICY
NON-INVARIANCE
PROBLEM
22
5
EMPIRICAL
EVIDENCE
24
5.1
MODEL
I
25
5.2
MODEL
2
30
6
CONCLUSIONS
33
REFERENCES
35
A
DERIVATION
OF
THE
FUNCTIONAL
FORM
OF
THE
DETERMINISTIC
COMPONENTS
IN
THE
VMA
REPRESENTATION
OF
A
VAR
38
B
MODELL
40
C
MODEQ
42
FIGURE
45
EUROPEAN
CENTRAL
BANK
WORKING
PAPER
SERIES
53 |
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| indexdate | 2024-07-20T03:56:21Z |
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| language | English |
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| spelling | Monti, Francesca V. Verfasser aut Implementing optimal control in cointegrated I(I) structural VAR models by Francesca V. Monti Frankfurt am Main European Central Bank 2003 57 S. txt rdacontent n rdamedia nc rdacarrier Working paper series / European Central Bank 288 Ökonometrisches Modell Finance Econometric models Time-series analysis European Central Bank Working paper series 288 (DE-604)BV012681744 288 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010660143&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Monti, Francesca V. Implementing optimal control in cointegrated I(I) structural VAR models Ökonometrisches Modell Finance Econometric models Time-series analysis |
| title | Implementing optimal control in cointegrated I(I) structural VAR models |
| title_auth | Implementing optimal control in cointegrated I(I) structural VAR models |
| title_exact_search | Implementing optimal control in cointegrated I(I) structural VAR models |
| title_full | Implementing optimal control in cointegrated I(I) structural VAR models by Francesca V. Monti |
| title_fullStr | Implementing optimal control in cointegrated I(I) structural VAR models by Francesca V. Monti |
| title_full_unstemmed | Implementing optimal control in cointegrated I(I) structural VAR models by Francesca V. Monti |
| title_short | Implementing optimal control in cointegrated I(I) structural VAR models |
| title_sort | implementing optimal control in cointegrated i i structural var models |
| topic | Ökonometrisches Modell Finance Econometric models Time-series analysis |
| topic_facet | Ökonometrisches Modell Finance Econometric models Time-series analysis |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010660143&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV012681744 |
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