Auflistung Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 nach Schlagwort "vector autoregression"
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2005-09-21BuchBootstrapping Impulse Responses in VAR Analyses
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2002-10-22BuchComparison of Model Reduction Methods for VAR Processes The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies ...
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2001-11-11BuchDid the Fed Surprise the Markets in 2001? In 2001, the Fed has lowered interest rates in a series of cuts, starting from 6.5 % at the end of 2000 to 2.0 % by early November. This paper asks, whether the Federal Reserve Bank has been surprising the markets, taking ...
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2002-09-01BuchTesting for Vector Autoregressive Dynamics under Heteroskedasticity