Now showing items 1-15 of 15

    • Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study 

      Athanasopoulos, George; Issler, João Victor; Guillen, Osmani Teixeira Carvalho (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2005-04-01)
      Using vector autoregressive (VAR) models and Monte-Carlo simulation methods we investigate the potential gains for forecasting accuracy and estimation uncertainty of two commonly used restrictions arising from economic ...
    • Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions 

      Guillen, Osmani Teixeira Carvalho; Hecq, Alain; Issler, João Victor; Saraiva, Diogo Vinícius Menezes (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2013-07-01)
      It is well known that cointegration between the level of two variables (e.g. prices and dividends) is a necessary condition to assess the empirical validity of a present-value model (PVM) linking them. The work on ...
    • Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions 

      Guillen, Osmani Teixeira Carvalho; Hecq, Alain; Issler, João Victor; Saraiva, Diogo Vinícius Menezes (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2015-02-26)
      Using a sequence of nested multivariate models that are VAR-based, we discuss different layers of restrictions imposed by present-value models (PVM hereafter) on the VAR in levels for series that are subject to present-value ...
    • Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions 

      Guillen, Osmani Teixeira Carvalho; Hecq, Alain; Issler, João Victor; Saraiva, Diogo Vinícius Menezes (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2014-06-02)
      This paper has two original contributions. First, we show that the present value model (PVM hereafter), which has a wide application in macroeconomics and fi nance, entails common cyclical feature restrictions in the ...
    • O Impacto da Abertura Comercial Sobre Mark-Up e Produtividade Industrial Brasileira 

      Ferreira, Pedro Cavalcanti; Guillen, Osmani Teixeira Carvalho (Fundação Getulio Vargas, 2001-08-23)
      O objetivo deste artigo é analisar o comportamento da indústria de transformação após as reformas implantadas na década de noventa. Verificamos se o processo de abertura gerou aumentos da produtividade média da indústria ...
    • Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions 

      Athanasopoulos, George; Guillen, Osmani Teixeira Carvalho; Issler, João Victor; Vahid, Farshid (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2011-01-27)
      We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We ...
    • Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions 

      Athanasopoulos, George; Guillen, Osmani Teixeira Carvalho; Issler, João Victor; Vahid, Farshid (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2010-03-29)
      We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We ...
    • Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions 

      Athanasopoulos, George; Guillen, Osmani Teixeira Carvalho; Issler, João Victor (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2009-02-05)
      We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We ...
    • Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions 

      Athanasopoulos, George; Guillen, Osmani Teixeira Carvalho; Issler, João Victor; Vahid, Farshid (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2010-09-13)
      We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We ...
    • On the welfare costs of business cycles in the 20th century 

      Issler, João Victor; Guillen, Osmani Teixeira Carvalho (Escola de Pós-Graduação em Economia da FGV, 2003-02)
      Lucas (1987) has shown a surprising result in business-cycle research, that the welfare cost of business cycles are relatively small. Using standard assumptions on preferences and a reasonable reduced form for consumption, ...
    • On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century 

      Guillen, Osmani Teixeira Carvalho; Issler, João Victor; Franco Neto, Afonso Arinos de Mello (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2012-02-28)
      Lucas (1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel ...
    • On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century 

      Guillen, Osmani Teixeira Carvalho; Issler, João Victor; Franco Neto, Afonso Arinos de Mello (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2012-10-17)
      Lucas(1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel ...
    • On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond 

      Guillen, Osmani Teixeira Carvalho; Issler, João Victor; Franco Neto, Afonso Arinos de Mello (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2013-11-04)
      The main objective of this paper is to propose a novel setup that allows estimating separately the welfare costs of the uncertainty stemming from business-cycle uctuations and from economic-growth variation, when the two ...
    • The welfare cost of macroeconomic uncertainty in the post-war period 

      Franco Neto, Afonso Arinos de Mello; Issler, João Victor; Guillen, Osmani Teixeira Carvalho (Escola de Pós-Graduação em Economia da FGV, 2006-09-01)
      With standard assumptions on preferences and a fully-fledged econometric model we computed the welfare costs of macroeconomic uncertainty for post-war U.S. using the BeveridgeNelson decomposition. Welfare costs are about ...
    • The welfare cost of macroeconomic uncertainty in the post-war period 

      Franco Neto, Afonso Arinos de Mello; Issler, João Victor; Guillen, Osmani Teixeira Carvalho (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2005-12-01)
      Lucas (1987) has shown the surprising result that the welfare cost of business cycles is quite small. Using standard assumptions on preferences and a fully-áedged econometric model we computed the welfare costs of macroeconomic ...