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Data for The efficient market hypothesis and identification in structural VARs
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Sarno, Lucio and Thornton, Daniel L. (2004) Data for The efficient market hypothesis and identification in structural VARs. [Dataset]
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Official URL: http://wrap.warwick.ac.uk/7444/
Abstract
Structural vector autoregression (SVAR) models are commonly used to investigate the effect of structural shocks on economic variables. The identifying restrictions imposed in many of these exercises have been criticized in the literature. This paper extends this literature by showing that, if the SVAR includes one or more variables that are efficient in the strong form of the efficient market hypothesis, the identifying restrictions frequently imposed in SVARs cannot be satisfied. The authors argue that this analysis will likely apply to VARs that include variables that are consistent with weaker forms of the efficient market hypothesis, especially when the data are measured at the monthly or quarterly frequencies, as is frequently the case.
Item Type: | Dataset | ||||||
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Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
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Divisions: | Faculty of Social Sciences > Economics | ||||||
Type of Data: | Experimental data | ||||||
Library of Congress Subject Headings (LCSH): | Autoregression (Statistics), Regression analysis, Econometric models | ||||||
Publisher: | University of Warwick, Department of Economics | ||||||
Official Date: | 4 June 2004 | ||||||
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Status: | Not Peer Reviewed | ||||||
Publication Status: | Published | ||||||
Media of Output (format): | .txt | ||||||
Access rights to Published version: | Open Access (Creative Commons) | ||||||
Copyright Holders: | University of Warwick, Federal Reserve Bank of St Louis | ||||||
Description: | Data record consists of a zip archive containing documentation only. Access to the data requires an ICPSR account. |
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