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

Author

Listed:
  • Vahid, F.
  • Issler, J.V.
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.

Suggested Citation

  • Vahid, F. & Issler, J.V., 2001. "The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers 2/01, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:msh:ebswps:2001-2
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    File URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2001/wp2-01.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Reduced rank models; model selection criteria; forecasting; variance decomposition;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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