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 |
|
الملفات في هذه المادة
لا توجد أي ملفات مرتبطة بهذه المادة.
|
هذه المادة تبدو في المجموعات التالية:
أعرض تسجيلة المادة بشكل مبسط