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宏观经济理论视角下的应用协整分析AI 解读

Cointegration analyses of macroeconomic time series are often not based on fully specified theoretical models. We use a theoretical model to scrutinize common procedures in applied cointegration analysis. Monte Carlo experiments show that 1) some tests of the cointegration vectors do not work well on series generated by an equilibrium cycle model; (2) cointegration restrictions add little to forecasting; (3) structural VAR models based on weak long-run restrictions seem to…

从宏观经济理论审视应用协整分析AI 解读

Cointegration analyses of macroeconomic time series are often not based on fully specified theoretical models. We use a theoretical model to scrutinize common procedures in applied cointegration analysis. Monte Carlo experiments show that 1) some tests of the cointegration vectors do not work well on series generated by an equilibrium cycle model; (2) cointegration restrictions add little to forecasting; (3) structural VAR models based on weak long-run restrictions seem to…

真实经济周期模型的周期特征AI 解读

This paper tests the well-known real business cycle model of Kydland and Prescott (1988), using spectral methods for linear filters. Model spectra, coherencies, phase shifts, and correlations are tested against U.S. post-war data using both asymptotic and small-sample distributions. Compared with the model, the data have shorter business cycles, smaller co-movements of different macro variables, and less of a leading role for output. Copyright 1994 by John Wiley & Sons, Ltd.