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

Farshid Vahid and João Issler

No 2/01, 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: C15 C32 C53 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2001-03
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2001/wp2-01.pdf (application/pdf)

Related works:
Journal Article: The importance of common cyclical features in VAR analysis: a Monte-Carlo study (2002)
Working Paper: The importance of common cyclical features in VAR analysis: a Monte-Carlo study (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:msh:ebswps:2001-2

Ordering information: This working paper can be ordered from
http://business.mona ... -business-statistics

Access Statistics for this paper

More papers in Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics PO Box 11E, Monash University, Victoria 3800, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Professor Xibin Zhang ().