Vector autoregression (VAR) is a fundamental tool for modeling multivariate time series.
However, as the number of component series is increased, the VAR model becomes …

What makes this book unique? It follows a simple ethos: it is easier to learn by doing.
Or,“Econometrics is better taught by example than abstraction”(Angrist & Pischke, 2017, p. 2) …

We conclude that individual aid sector volatility matters as well as total aid volatility. Easily,
the most important contributor to total volatility is debt aid. The most volatile aid sectors per …

This paper examines pairwise intercity price–volume dynamics in China using novel daily
transaction price and volume dataset from 32 Chinese cities. Despite geographical disparity …

This paper examines whether in the financially deregulated regime, shift in the financing
pattern of the fiscal deficit away from seigniorage and external debt financing to bond …

1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the
dominant research tools in the analysis of macroeconomic time series during the last two …

This paper analyzes the real (direct) and financial crowding out in India between 197071
and 200203. Using an asymmetric vector autoregressive (VAR) model, the paper finds no …

We estimate an SVAR model for the Australian economy based on an open economy New
Keynesian model that accounts for the forward-looking behaviour exhibited by economic …

The book surveys modern literature on financial aggregation and index number theory, with
special emphasis on the contributions of the book's two coauthors. In addition to an …

Small-scale VARs are widely used in macroeconomics for forecasting US output, prices, and
interest rates. However, recent work suggests these models may exhibit instabilities. As …