The Resource Identification and estimation of sources of common fluctuations : new methodologies and applications, Katarzyna Maciejowska
Identification and estimation of sources of common fluctuations : new methodologies and applications, Katarzyna Maciejowska
Resource Information
The item Identification and estimation of sources of common fluctuations : new methodologies and applications, Katarzyna Maciejowska represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.This item is available to borrow from 1 library branch.
Resource Information
The item Identification and estimation of sources of common fluctuations : new methodologies and applications, Katarzyna Maciejowska represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.
This item is available to borrow from 1 library branch.
- Summary
- This thesis addresses the problem of how to identify and model sources of common fluctuations of economic variables. It is an interesting question not only for researchers but also for policy makers and other authorities. The literature presents two approaches. The first one is based on an assumption that the important structural shocks can be captured by a small set of macroeconomic variables. The most popular models used in this context are structural vector autoregression models (SVAR). The second approach follows from a belief that there exists a small number of factors that affect many economic processes. Therefore, it involves analysis of large data sets, with both time and cross- sectional dimensions large enough to describe the factor structure. We dedicate the first part of the thesis to the problem of identification and estimation of structural shocks in small SVAR models. We follow the ideas of Rigobon (2003) and Lanne and Lütkepohl (2008), which show that the statistical property of the data may provide enough information to identify the structure of the model. The papers argue that a shift in the error covariance matrix allows for the estimation of the structural parameters of interest. The literature concentrates on models in which the shift is a result of a structural brake or a mixed distribution of errors.--
- Language
- eng
- Extent
- viii, 119 pages
- Note
- Examining Board: Professor Helmut Lütkepohl, EUI, Supervisor; Professor Massimiliano Marcellino, EUI; Professor Joerg Breitung, University of Bonn; Professor George Kapetanios, Queen Mary University of London
- Label
- Identification and estimation of sources of common fluctuations : new methodologies and applications
- Title
- Identification and estimation of sources of common fluctuations
- Title remainder
- new methodologies and applications
- Statement of responsibility
- Katarzyna Maciejowska
- Language
- eng
- Summary
- This thesis addresses the problem of how to identify and model sources of common fluctuations of economic variables. It is an interesting question not only for researchers but also for policy makers and other authorities. The literature presents two approaches. The first one is based on an assumption that the important structural shocks can be captured by a small set of macroeconomic variables. The most popular models used in this context are structural vector autoregression models (SVAR). The second approach follows from a belief that there exists a small number of factors that affect many economic processes. Therefore, it involves analysis of large data sets, with both time and cross- sectional dimensions large enough to describe the factor structure. We dedicate the first part of the thesis to the problem of identification and estimation of structural shocks in small SVAR models. We follow the ideas of Rigobon (2003) and Lanne and Lütkepohl (2008), which show that the statistical property of the data may provide enough information to identify the structure of the model. The papers argue that a shift in the error covariance matrix allows for the estimation of the structural parameters of interest. The literature concentrates on models in which the shift is a result of a structural brake or a mixed distribution of errors.--
- Assigning source
- Provided by Publisher
- Cataloging source
- IT-FiEUI
- http://library.link/vocab/creatorName
- Maciejowska, Katarzyna
- Date time place
- Defence date: 28 May 2010
- Dissertation note
- Thesis (Ph. D.)--European University Institute (ECO), 2010.
- Index
- no index present
- Literary form
- non fiction
- Nature of contents
- theses
- http://library.link/vocab/relatedWorkOrContributorName
- European University Institute
- Series statement
-
- EUI PhD theses
- EUI theses
- http://library.link/vocab/subjectName
-
- Business cycles
- Instrumental variables (Statistics)
- Economics
- Label
- Identification and estimation of sources of common fluctuations : new methodologies and applications, Katarzyna Maciejowska
- Note
- Examining Board: Professor Helmut Lütkepohl, EUI, Supervisor; Professor Massimiliano Marcellino, EUI; Professor Joerg Breitung, University of Bonn; Professor George Kapetanios, Queen Mary University of London
- Bibliography note
- Includes bibliographical references (pages 115-119)
- Carrier category
- volume
- Carrier category code
-
- nc
- Carrier MARC source
- rdacarrier.
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent.
- Control code
- FIEB16709299
- Dimensions
- 30 cm.
- Extent
- viii, 119 pages
- Media category
- unmediated
- Media MARC source
- rdamedia.
- Media type code
-
- n
- Other physical details
- illustrations
- System control number
- (OCoLC)1038753182
- Label
- Identification and estimation of sources of common fluctuations : new methodologies and applications, Katarzyna Maciejowska
- Note
- Examining Board: Professor Helmut Lütkepohl, EUI, Supervisor; Professor Massimiliano Marcellino, EUI; Professor Joerg Breitung, University of Bonn; Professor George Kapetanios, Queen Mary University of London
- Bibliography note
- Includes bibliographical references (pages 115-119)
- Carrier category
- volume
- Carrier category code
-
- nc
- Carrier MARC source
- rdacarrier.
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent.
- Control code
- FIEB16709299
- Dimensions
- 30 cm.
- Extent
- viii, 119 pages
- Media category
- unmediated
- Media MARC source
- rdamedia.
- Media type code
-
- n
- Other physical details
- illustrations
- System control number
- (OCoLC)1038753182
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/Identification-and-estimation-of-sources-of/NW3Em9yPzX8/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/Identification-and-estimation-of-sources-of/NW3Em9yPzX8/">Identification and estimation of sources of common fluctuations : new methodologies and applications, Katarzyna Maciejowska</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>
