Identifying VAR models under rational expectations

Keating, John W.

doi:10.1016/0304-3932(90)90063-a

Cited by 79 publications

(38 citation statements)

References 10 publications

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“…Some authors have argued that VAR models are atheoretical (Cooley and LeRoy 1985;Leamer 1985) in that VAR approach does not use economic theory during the building process. Others argue that it yields inconsistent estimates when there is no restriction on contemporaneous correlation of residuals (Keating 1990). A crucial critique is that estimates of VAR models vary greatly according to alternative orderings of variables (Spencer 1989;Runkle 1987).…”

Section: He Questionedmentioning

confidence: 99%

Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea

Ermini

Chang

1996

Journal of Econometrics

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Section: He Questionedmentioning

confidence: 99%

Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea

Ermini

Chang

1996

Journal of Econometrics

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“…(A solution to the case of either over-identified models or models with more than just exclusion restrictions can be found in other studies, as well. However, they treat in general, special cases which concern the structure of their model - Blanchard andQuah, 1989 andKeating, 1990). Giannini (1992), following the seminal work of Rothenberg (1971), has derived conditions for the 'local' identification of the structural parameters and provided algorithms for their FIML estimation.…”

Section: Methodsmentioning

confidence: 99%

Temporal aggregation in structural VAR models

Georgoutsos

Κουρέτας

Tserkezos

1998

Appl. Stochastic Models Data Anal.

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“…VAR models often preferred for time series for that its dynamic relations can be given without limitation on the structural model (Keating, 1990). Additionally in VAR models, inclusion of the lagged values of the dependent variables allows making strong predictions for the future (Kumar, Robert, & John, 1995).…”

Section: Vector Autoregressive (Var) Modelmentioning

confidence: 99%

Impact of Inflation, Dollar Exchange Rate and Interest Rate on Red Meat Production in Turkey: Vector Autoregressive (VAR) Analysis

Çelik¹

2015

CBR

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In this study, impact of inflation (WPI-Wholesale Price Index), exchange rate, and interest rate on the production of red meat in Turkey was examined using the vector autoregressive (VAR) model. The model consisting of variables of dollar exchange rate, inflation rate, interest rate, beef, buffalo meat, mutton, and goat meat production amounts has been estimated for the period from 1981 to 2014. It has been detected that there is a tie among the dollar exchange rate, inflation rate, interest rate, and the amount of red meat production in Turkey. In order to determine the direction of this relation, Granger causality test was conducted. A one-way causal relation has been observed between: the goat meat production and dollar exchange rate; the buffalo meat production and the mutton production; and the beef production and the mutton production. To interpret VAR model, the impulse response function and variance decomposition analysis was used. As a result of variance decomposition, it has been detected that explanatory power of changes in the variance of dollar exchange rate, inflation rate, and interest rate in goat meat production amount is more than explanatory power of changes in the variances of mutton, beef, and buffalo meat variables.

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Identifying VAR models under rational expectations

Cited by 79 publications

References 10 publications

Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea

Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea

Temporal aggregation in structural VAR models

Impact of Inflation, Dollar Exchange Rate and Interest Rate on Red Meat Production in Turkey: Vector Autoregressive (VAR) Analysis

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