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Instrumental variable estimators for state space models
The state vector in the innovation representation is asymptotically the most efficient instrumental variable estimator for the observation matrix C. The paper compares small sample properties of IV estimators for C, the dynamic matrix A and other matrices with the system theoretic estimators described in Aoki (1987) by a small scale Monte Carlo simulations. The IV estimators appear to be about the same as the system theoretic ones as far as their small sample properties are concerned. The covariance matrix of the state vector calculated from the IV point of view are also compared with the ...
Comparisons of alternative identification schemes for the U.S. real GNP- unemployment level correlation: sensitivity analysis
The paper employs three different types of identifying restrictions to calculate the impulse responses for the trivariate series composed of the U.S. unemployment level, real GNP and the money stock. The first two are the zero restrictions, arising from the assumption of the delayed information pattern available in forming a money reaction function. The third assumes a particular simplified structural model. The paper shows that the impulse response patterns are generally insensitive to these alternative specifications. Similar exercises are carried out for the bivariate series composed of ...
Structural changes in the real GNP interdependence of the U.S., West Germany, and Japan during the period 1970-1986
The paper first locates quarters in the early 1970s at which the covariance matrices of the innovation vectors have shifted for the real GNPs of the USA, West Germany and Japan treated as univariate series. The paper then exhibits differences in the impulse response time profiles of the two models estimated from the data primarily before and after the break as a concise summary of the changes in dynamic interactions of the three real GNPs.