This paper analyses the effects of discretionary fiscal policy by presenting new empirical evidence for Germany within a structural vector autoregression (SVAR) framework. Following Blanchard and Perotti (2002), the SVAR model is identified by applying institutional information. We find no compelling evidence for the effectiveness of discretionary fiscal policy. Cutting taxes does not tend to s...

This paper investigates the empirical evidence on the link between foreign direct investment and trade (export and import) in Turkey over the period from 1992:01 to 2008:04 by using the minimum LM unit root test for stationarity; Granger and Dolado-Lüthkepohl tests for causality. The test results based on the bi-variate VAR model indicate that there is no evidence of causality between foreign d...

This paper estimates a structural VAR model of U.S. consumer and world commodity prices. An equiproportional long-run response of nominal price levels to amonetary shock yields identifying restrictions. Exogenous innovations tomonetary policy account for a sizable share of the co-movement of these series, including during episodes more commonly attributed to “supply shocks.” JEL Categories: C32...

Abstract We consider d-order Markov chains satisfying a conditional constraint E(aθ(Xi−1, Xi) | Xi−1) = 0, where Xi−1 = (Xi−1, . . . , Xi−d). These comprise quasi-likelihood models and nonlinear and conditionally heteroscedastic autoregressive models with martingale innovations. Estimators for θ can be obtained from estimating equations ∑n i=1Wθ(Xi−1) aθ(Xi−1, Xi) = 0. We review different crite...

Multivariate count models are rare in political science, despite the presence of many count time series. This article develops a new Bayesian Poisson vector autoregression (BaP-VAR) model that can characterize endogenous dynamic counts with no restrictions on the contemporaneous correlations. Impulse responses, decomposition of the forecast errors, and dynamic multiplier methods for the effects...

The FitAR R (R Development Core Team 2008) package that is available on the Comprehensive R Archive Network is described. This package provides a comprehensive approach to fitting autoregressive and subset autoregressive time series. For long time series with complicated autocorrelation behavior, such as the monthly sunspot numbers, subset autoregression may prove more feasible and/or parsimoni...

Ce document est publié dans l'intention de rendre accessibles les résultats préliminaires de la recherche effectuée au CIRANO, afin de susciter des échanges et des suggestions. Les idées et les opinions émises sont sous l'unique responsabilité des auteurs, et ne représentent pas nécessairement les positions du CIRANO ou de ses partenaires. This paper presents preliminary research carried out at...