Bisio, Laura and Faccini, Andrea (2010) Does cointegration matter? An analysis in a RBC perspective. Working Paper. Dipartimento di Economia Pubblica, Roma.
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Abstract
The aim of this paper is to verify if a proper SVEC representation of a standard Real Business Cycle model exists even when the capital stock series is omitted. The argument is relevant as the common unavailability of sufficiently long medium-frequency capital series prevent researchers from including capital in the widespread structural VAR (SVAR) representations of DSGE models - which is supposed to be the cause of the SVAR biased estimates. Indeed, a large debate about the truncation and small sample bias affecting the SVAR performance in approximating DSGE models has been recently rising. In our view, it might be the case of a smaller degree of estimates distorsions when the RBC dynamics is approximated through a SVEC model as the information provided by the cointegrating relations among some variables might compensate the exclusion of the capital stock series from the empirical representation of the model.
| Item Type: | Monograph (Working Paper) |
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| Additional Information: | JEL CLASSIFICATION: E27, E32, C32, C52 |
| Uncontrolled Keywords: | RBC, SVAR, SVEC model, cointegration |
| Subjects: | 300 Scienze sociali > 330 Economia |
| Depositing User: | Dipartimento economia e diritto |
| Date Deposited: | 18 May 2010 |
| Last Modified: | 20 May 2010 12:03 |
| URI: | http://eprints.bice.rm.cnr.it/id/eprint/1524 |
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