Business cycle analysis without much theory: A look at structural VARs

DOI10.1016/S0304-4076(97)00065-1zbMath0906.62124OpenAlexW2038674930MaRDI QIDQ1377305

Thomas F. Cooley, Mark Dwyer

Publication date: 22 February 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00065-1

zbMATH Keywords

identificationbusiness cycle fluctuationsVAR-modelsSVAR modelsstructural VAR-models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (12)

Large Bayesian VARMAs ⋮ Vector autoregressive moving average identification for macroeconomic modeling: a new methodology ⋮ Are spectral estimators useful for long-run restrictions in SVARs? ⋮ Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form ⋮ A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models ⋮ On weak identification in structural VARMA models ⋮ Productivity shocks and employment: evidence from U. S. industrial data ⋮ Bayesian modeling and forecasting of vector autoregressive moving average processes ⋮ An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes ⋮ Real rigidities, productivity improvements and investment dynamics ⋮ Choosing between identification schemes in noisy-news models ⋮ Business cycle analysis and VARMA models

Cites Work

• A critique of the application of unit root tests
• Testing for Common Trends
• Integration Versus Trend Stationary in Time Series
• An Econometric Study of Hours and Output Variation with Preference Shocks
• Co-Integration and Error Correction: Representation, Estimation, and Testing

This page was built for publication: Business cycle analysis without much theory: A look at structural VARs