Temporal aggregation and SVAR identification, with an application to fiscal policy

DOI10.1016/J.ECONLET.2009.08.010zbMath1181.62172OpenAlexW2096394051MaRDI QIDQ1046293

Massimo Giuliodori, Roel M. W. J. Beetsma, Franc J. G. M. Klaassen

Publication date: 21 December 2009

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://dare.uva.nl/personal/pure/en/publications/temporal-aggregation-and-svar-identification-with-an-application-to-fiscal-policy(3aa35a94-9660-4772-8ed9-9582b5933dcd).html

zbMATH Keywords

identificationhigh frequencylow frequencyfiscal and monetary policystructural vector autoregression (SVAR)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Exchange rate regimes and fiscal multipliers

Cites Work

• An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output
• Prediction with a Generalized Cost of Error Function

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