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dc.contributor.authorVahid, Farshid
dc.contributor.authorIssler, João Victor
dc.date.accessioned2008-05-13T15:44:10Z
dc.date.accessioned2010-09-23T18:57:34Z
dc.date.available2008-05-13T15:44:10Zpor
dc.date.available2010-09-23T18:57:34Z
dc.date.issued1999-09-01
dc.identifier.issn0104-8910
dc.identifier.urihttp://hdl.handle.net/10438/971
dc.description.abstractDespite the belief, supported byrecentapplied research, thataggregate datadisplay short-run comovement, there has been little discussion about the econometric consequences ofthese data 'features.' W e use exhaustive M onte-Carlo simulations toinvestigate theimportance ofrestrictions implied by common-cyclicalfeatures for estimates and forecasts based on vectorautoregressive and errorcorrection models. First, weshowthatthe'best' empiricalmodeldevelopedwithoutcommoncycles restrictions neednotnestthe'best' modeldevelopedwiththoserestrictions, duetothe use ofinformation criteria forchoosingthe lagorderofthe twoalternative models. Second, weshowthatthecosts ofignoringcommon-cyclicalfeatures inV A R analysis may be high in terms offorecastingaccuracy and e¢ciency ofestimates ofvariance decomposition coe¢cients. A lthough these costs are more pronounced when the lag orderofV A R modelsareknown, theyarealsonon-trivialwhenitis selectedusingthe conventionaltoolsavailabletoappliedresearchers. T hird, we…ndthatifthedatahave common-cyclicalfeatures andtheresearcherwants touseaninformationcriterium to selectthelaglength, theH annan-Q uinn criterium is themostappropriate, sincethe A kaike and theSchwarz criteriahave atendency toover- and under-predictthe lag lengthrespectivelyinoursimulations.eng
dc.language.isoeng
dc.publisherEscola de Pós-Graduação em Economia da FGVpor
dc.relation.ispartofseriesEnsaios Econômicos;352por
dc.titleThe importance of Common-Cyclical Features in VAR analysis: a Monte-Carlo study (Preliminary Version)eng
dc.typeWorking Papereng
dc.subject.areaEconomiapor
dc.contributor.unidadefgvEscolas::EPGEpor
dc.subject.bibliodataEconomiapor
dc.subject.bibliodataCiclos econômicospor
dc.subject.bibliodataMonte Carlo, Método depor
dc.contributor.affiliationFGV


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