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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19123Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.creator | Pesaran, Mohammad Hashem | - |
| dc.creator | Smith, Ron P. | - |
| dc.date | 2006 | - |
| dc.date.accessioned | 2013-10-16T07:03:01Z | - |
| dc.date.available | 2013-10-16T07:03:01Z | - |
| dc.date.issued | 2013-10-16 | - |
| dc.identifier | http://hdl.handle.net/10419/19123 | - |
| dc.identifier | ppn:510017665 | - |
| dc.identifier.uri | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19123 | - |
| dc.description | This paper provides a synthesis and further development of a global modelling approach introduced in Pesaran, Schuermann and Weiner (2004), where country specific models in the form of VARX* structures are estimated relating a vector of domestic variables, xit, to their foreign counterparts, x*it, and then consistently combined to form a Global VAR (GVAR). It is shown that the VARX* models can be derived as the solution to a dynamic stochastic general equilibrium (DSGE) model where over-identifying long-run theoretical relations can be tested and imposed if acceptable. This gives the system a transparent long-run theoretical structure. Similarly, short-run over-identifying theoretical restrictions can be tested and imposed if accepted. Alternatively, if one has less confidence in the short-run theory the dynamics can be left unrestricted. The assumption of the weak exogeneity of the foreign variables for the long-run parameters can be tested, where x*it variables can be interpreted as proxies for global factors. Rather than using deviations from ad hoc statistical trends, the equilibrium values of the variables reflecting the long-run theory embodied in the model can be calculated. This approach has been used in a wide variety of contexts and for a wide variety of purposes. The paper also provides some new results. | - |
| dc.language | eng | - |
| dc.relation | CESifo working papers 1659 | - |
| dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | - |
| dc.subject | F42 | - |
| dc.subject | F37 | - |
| dc.subject | E17 | - |
| dc.subject | C32 | - |
| dc.subject | ddc:330 | - |
| dc.subject | Global VAR (GVAR) | - |
| dc.subject | DSGE models | - |
| dc.subject | VARX | - |
| dc.subject | Ökonometrisches Makromodell | - |
| dc.subject | CGE-Modelling | - |
| dc.subject | VAR-Modell | - |
| dc.subject | Theorie | - |
| dc.title | Macroeconometric modelling with a global perspective | - |
| dc.type | doc-type:workingPaper | - |
| Appears in Collections: | EconStor | |
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