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Estimating shocks and impulse response functions (replication data)
This paper examines the issue of how to identify the shocks in a cointegrated VAR when the following assumptions are made: the variables can be classified as endogenous or... -
Numerical distribution functions of likelihood ratio tests for cointegration ...
This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for... -
PERMANENT AND TRANSITORY SHOCKS, AND THE UK BUSINESS CYCLE (replication data)
In this paper the business cycle properties of UK data are investigated using a VAR technique. A Real Business Cycle (RBC) model is formulated. The model includes both permanent...
