The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study

Farshid Vahid () and João Victor Issler ()

No 2/2001, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: Despite the commonly held belief that aggregate data display short-run comovement, there has been little discussion about the econometric consequences of this feature of the data. We use exhaustive Monte-Carlo simulations to investigate the importance of restrictions implied by common-cyclical features for estimates and forecasts based on vector autoregressive models.

Keywords: Reduced rank models; model selection criteria; forecasting; variance decomposition (search for similar items in EconPapers)
JEL-codes: C32 C15 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2001-03

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Related works:
Working Paper: The Importance of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study (2001)
Journal Article: The importance of common cyclical features in VAR analysis: a Monte-Carlo study (2002)
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