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

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
Creator
Contributor
Subject
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.--
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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
Link
http://hdl.handle.net/1814/14190
Instantiates
Publication
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
Link
http://hdl.handle.net/1814/14190
Publication
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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