أعرض تسجيلة المادة بشكل مبسط

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


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أعرض تسجيلة المادة بشكل مبسط