- Nummer des Discussion-Papers
Independent Components Analysis
Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this paper, we present a recently developed method for exploiting non-Gaussianity in the data for estimating such models, with the aim of capturing the causal structure underlying the data, and show how the method can be applied to both microeconomic data (processes of ﬁrm growth and ﬁrm performance) as well as macroeconomic data (effects of monetary policy).
- article pub. typess JER
- Research article
- article languages JER
- JEL-Classification for JER
- C32 - Time-Series Models ; C52 - Model Evaluation and Selection ; D21 - Firm Behavior ; E52 - Monetary Policy ; L21 - Business Objectives of the Firm