Vector Autoregressions

Ltkepohl, Helmut

doi:10.1002/9780470996249.ch33

Cited by 10 publications

(7 citation statements)

References 33 publications

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“…9. Austria 1965Austria -2001France 1965France -2001Greece 1961Greece -2001Iceland 1967Iceland -2001Netherlands 1969Netherlands -2001New Zealand 1962-2001Spain 1961Spain -2001. Multiplying the variables in logarithms by 100 facilitates the interpretation of the estimated impulse responses.…”

Section: Notesmentioning

confidence: 99%

“…Whether it is important to do so in an empirical application, can be clarified with the help of a causality analysis. While it is possible to formally test for causality in the sense of Granger (1969), the impulse response analysis can also be regarded as a type of causality analysis (Lütkepohl, 2001). 27 In our context, it is most interesting to investigate whether there is feedback from output to public capital, i.e., whether the impulse responses of public capital to an output shock are significantly different from zero at some point in the response horizon.…”

Section: Is There Evidence For Reverse Causation?mentioning

confidence: 99%

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The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries

Kamps

2005

Int Tax Public Finan

119

105

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The issue of whether public capital is productive has received a great deal of recent attention. Yet, empirical analyses of public capital productivity have been limited to a small sample of countries for which official capital stock estimates are available. Building on a new database that provides internationally comparable capital stock estimates, this paper estimates the dynamic effects of public capital using the vector autoregressive (VAR) methodology for a large set of OECD countries. The empirical results suggest that there is evidence for positive output effects of public capital in OECD countries, but hardly any evidence for positive employment effects. Copyright Springer Science + Business Media, Inc. 2005public capital, VAR model, cointegration, OECD countries,

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Section: Notesmentioning

confidence: 99%

Section: Is There Evidence For Reverse Causation?mentioning

confidence: 99%

The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries

Kamps

2005

Int Tax Public Finan

119

105

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“…A close examination of time series characteristics is highly important to the selection of a suitable representation of the data generation process (Lütkepohl, 1999). For instance, whether a time series has a unit root or not can drastically change the appropriate model to capture its dynamics and the proper test to investigate causality.…”

Section: Methodsmentioning

confidence: 99%

On the nexus between economic growth and bank-based financial development: evidence from Morocco

KCHIKECHE

Khallouk

2021

Middle East Development Journal

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On the nexus between economic growth and bank-based financial development: evidence from MoroccoIn this paper, we investigate the causal link between bank-based financial development and economic growth in Morocco between 2003 and 2018 using a vector autoregression framework. We test for causality between economic growth and four different measures of bank-based financial development in the short and long run. Our results show that bank-based financial development causes economic growth in the short and long run. Moreover, our results show that economic growth only causes bank-based financial development in the long run. At last, we show that the Moroccan banking sector's integration with the international financial markets only affects the causal link between economic growth and bank-based financial development by providing short-run liquidity to Moroccan banks. Based on these results, barriers to the financial development of the Moroccan banking sector should be investigated, and public policy should focus on designing appropriate policies and programs to alleviate these barriers in order to stimulate the growth of the Moroccan economy.

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“…To this end, in order to determine the lag of a VAR model, Lütkepohl (2003) proposed the following BIC criterion:…”

Section: Simulation Studymentioning

confidence: 99%

Bayesian structure selection for vector autoregression model

Chu

Huang

et al. 2019

Journal of Forecasting

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A vector autoregression (VAR) model is powerful for analyzing economic data as it can be used to simultaneously handle multiple time series from different sources. However, in the VAR model, we need to address the problem of substantial coefficient dimensionality, which would cause some computational problems for coefficient inference. To reduce the dimensionality, one could take model structures into account based on prior knowledge. In this paper, group structures of the coefficient matrices are considered. Because of the different types of VAR structures, corresponding Markov chain Monte Carlo algorithms are proposed to generate posterior samples for performing inference of the structure selection. Simulation studies and a real example are used to demonstrate the performances of the proposed Bayesian approaches.

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Vector Autoregressions

Cited by 10 publications

References 33 publications

The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries

The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries

On the nexus between economic growth and bank-based financial development: evidence from Morocco

Bayesian structure selection for vector autoregression model

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