Structural Time-series Modelling of Monetary Aggregates: A Case Study for Eleven European Countries
✍ Scribed by CARLO C. A. WINDER
- Publisher
- John Wiley and Sons
- Year
- 1997
- Tongue
- English
- Weight
- 251 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0277-6693
No coin nor oath required. For personal study only.
✦ Synopsis
Monetary aggregates for eleven European countries are analysed using the structural time-series methodology, paying special attention to unit root issues. Estimation of the parameters of the models is carried out by applying the asymptotic least squares (ALS) procedure. A comparison with the maximum likelihood estimates obtained via the Kalman ®lter shows that ALS is an alternative to Kalman ®lter estimation. The empirical results show that for only a small number of series the four variance parameters of the basic structural model are strictly positive. For the majority of the series the variance of the irregular component is equal to 0.