| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4662 |
| DP4662 Anatomy of the Rise and Fall of a Price-Fixing Conspiracy: Auctions at Sotheby's and Christie's | |
| Orley C Ashenfelter; Kathryn Graddy | |
| 发表日期 | 2004-10-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | Existing methods for constructing confidence bands for multivariate impulse response functions depend on auxiliary assumptions on the order of integration of the variables. Thus, they may have poor coverage at long lead times when variables are highly persistent. Solutions that have been proposed in the literature may be computationally challenging. The goal of this Paper is to propose a simple method for constructing confidence bands for impulse response functions that is not pointwise and that is robust to the presence of highly persistent processes. The method uses alternative approximations based on local-to-unity asymptotic theory and allows the lead time of the impulse response function to be a fixed fraction of the sample size. These devices provide better approximations in small samples. Monte Carlo simulations show that our method tends to have better coverage properties at long horizons than existing methods. We also investigate the properties of the various methods in terms of the length of their confidence bands. Finally, we show, with empirical applications, that our method may provide different economic interpretations of the data. Applications to real GDP and to nominal versus real sources of fluctuations in exchange rates are discussed. |
| 主题 | International Macroeconomics |
| 关键词 | Local to unity asymptotics Persistence Impulse response functions Vars |
| URL | https://cepr.org/publications/dp4662 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533583 |
| 推荐引用方式 GB/T 7714 | Orley C Ashenfelter,Kathryn Graddy. DP4662 Anatomy of the Rise and Fall of a Price-Fixing Conspiracy: Auctions at Sotheby's and Christie's. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
