Cointegrated VAR Analyses of a Hybrid DSGE and SVAR Model

Xuxin Mao, Institute of Mathematical Economics (IMW) , Bielefeld University, Germany

The paper provides cointegrated VAR analyses of Ireland's Hybrid Real Business Cycle models, which are constructed by a DSGE model and then supplemented by a Structural VAR model to analyze the autocorrelated error terms identified by economic theories. By testing the hypotheses which Ireland used to build his model, we find most of themare not valid. Then we construct our own Cointergrated VAR model with identified long-run and short-run structures.

About the speaker
Xuxin Mao is currently a research assistant in Institute of Mathematical Economics (IMW), Bielefeld University, Germany. His research interest is econometrics, especially in time series, cointegration and panel data. His work has been presented in Far Eastern Meeting of the Econometric Society and 2nd Tinbergen Institute Conference

Venue: Conference room, 4th floor, Keizer Karelplein 19

Date: 03 April 2008

Time: 16:00 - 16:00  CET