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Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
(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 ...
Competitive equilibrium hyperinflation under rational expectations
(Escola de Pós-Graduação em Economia, 2005-01-01)
This paper shows that a competitive equilibrium model, where a representative agent maximizes welfare, expectations are rational and markets are in equilibrium can account for several hyperinflation stylized facts. The ...