Financial factors in macroeconometric models:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Aachen
Shaker
2013
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| Schriftenreihe: | Berichte aus der Volkswirtschaft
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Enth. außerdem 3 Sonderabdr. |
| Beschreibung: | XX, 118 S. graph. Darst. |
| ISBN: | 9783844018226 |
Internformat
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Datensatz im Suchindex
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| adam_text | IMAGE 1
CONTENTS
ACKNOWLEDGMENTS IV
OVERVIEW VI
1 TESTING FOR STRUCTURAL BREAKS AT UNKNOWN TIME: A STEEPLECHASE 1
1.1 INTRODUCTION 1
1.2 METHODS FOR DETECTING STRUCTURAL CHANGES 4
1.3 THE SIMULATION SETUP 10
1.3.1 THE BASELINE SMALL SAMPLE MODEL 10
1.3.2 POWER AND SIZE OF STRUCTURAL BREAK TESTS IN THE BASELINE
MODEL 12
1.4 SIMULATION UNDER COMMON DATA AND MODEL PROBLEMS 14
1.4.1 HETEROSCEDASTICITY 14
1.4.2 NONNORMAL ERROR TERMS 16
1.5 ROBUSTNESS 19
1.5.1 STRUCTURAL BREAKS AT THE MARGINS 19
1.5.2 STRUCTURAL BREAKS IN MODELS WITH MULTIPLE PARAMETERS ... 21
1.6 CONCLUSION 22
REFERENCES 24
TECHNICAL APPENDIX 29
XV
HTTP://D-NB.INFO/1032596880
IMAGE 2
CONTENTS
HETEROSCEDASTICITY AND THE CUSUM TEST 29
SUPPLEMENTARY TABLES AND FIGURES 31
2 THE HALLE ECONOMIC PROJECTION MODEL 37
2.1 INTRODUCTION 37
2.2 MODEL SPECIFICATION 39
2.2.1 OBSERVABLE VARIABLES AND DEFINITIONS 40
2.2.2 STOCHASTIC PROCESSES AND MODEL DEFINITIONS 41
2.2.3 BEHAVIORAL EQUATIONS 45
2.3 MODEL ESTIMATION 47
2.3.1 BAYESIAN ESTIMATION 48
2.3.2 DATA 49
2.4 RESULTS 49
2.4.1 PRIOR AND POSTERIOR ANALYSIS 49
2.4.2 FORECASTING 52
2.4.3 SHOCK ANALYSIS 58
2.5 CONCLUSION 64
REFERENCES 65
APPENDIX 69
DATA DESCRIPTION AND RESULTS 69
MODEL SPECIFICATION 70
3 AN ESTIMATED FINANCIAL ACCELERATOR MODEL FOR THE EURO AREA AND
THE US ECONOMY 76
3.1 INTRODUCTION 76
3.2 THE FINANCIAL ACCELERATOR MODEL 79
3.3 EMPIRICAL SET-UP 85
3.4 ESTIMATION RESULTS 90
XVI
IMAGE 3
CONTENTS
3.4.1 PARAMETER ESTIMATES 90
3.4.2 IMPULSE RESPONSES 93
3.4.3 VARIANCE DECOMPOSITIONS 99
3.5 CONCLUSION 102
APPENDIX 107
THE LOG-LINEARIZED SYSTEM 107
PARAMETER BOUNDARIES 108
ADDITIONAL FIGURES 109
XVII
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| physical | XX, 118 S. graph. Darst. |
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| series2 | Berichte aus der Volkswirtschaft |
| spelling | Giesen, Sebastian 1981- Verfasser (DE-588)140986243 aut Financial factors in macroeconometric models Sebastian Giesen Aachen Shaker 2013 XX, 118 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Berichte aus der Volkswirtschaft Enth. außerdem 3 Sonderabdr. Zugl.: Halle, Univ., Diss., 2013 Makroökonomie (DE-588)4037174-8 gnd rswk-swf Geldtheorie (DE-588)4121333-6 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Makroökonomie (DE-588)4037174-8 s Geldtheorie (DE-588)4121333-6 s DE-188 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025950763&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Giesen, Sebastian 1981- Financial factors in macroeconometric models Makroökonomie (DE-588)4037174-8 gnd Geldtheorie (DE-588)4121333-6 gnd |
| subject_GND | (DE-588)4037174-8 (DE-588)4121333-6 (DE-588)4113937-9 |
| title | Financial factors in macroeconometric models |
| title_auth | Financial factors in macroeconometric models |
| title_exact_search | Financial factors in macroeconometric models |
| title_full | Financial factors in macroeconometric models Sebastian Giesen |
| title_fullStr | Financial factors in macroeconometric models Sebastian Giesen |
| title_full_unstemmed | Financial factors in macroeconometric models Sebastian Giesen |
| title_short | Financial factors in macroeconometric models |
| title_sort | financial factors in macroeconometric models |
| topic | Makroökonomie (DE-588)4037174-8 gnd Geldtheorie (DE-588)4121333-6 gnd |
| topic_facet | Makroökonomie Geldtheorie Hochschulschrift |
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