Structural VAR, MARMA and open economy models

Structural VAR, MARMA and open economy models

0.00 Avg rating0 Votes
Article ID: iaor1999708
Country: Netherlands
Volume: 14
Issue: 2
Start Page Number: 187
End Page Number: 198
Publication Date: Apr 1998
Journal: International Journal of Forecasting
Authors: ,
Keywords: forecasting: applications
Abstract:

In this paper we examine a number of issues in the context of structural VAR and MARMA open economy macro models. In particular, we examine whether VAR or MARMA is the more appropriate specification; whether expectations are forward or backward looking, and whether a number of restrictions imposed on such models are supported by empirical evidence. Prior restrictions are imposed by means of Lagrange multipliers, which makes many of the tests noted above routine.

Reviews

Required fields are marked *. Your email address will not be published.