The Resource The Efficient Market Hypothesis and Identification in Structural VARs
The Efficient Market Hypothesis and Identification in Structural VARs
Resource Information
The item The Efficient Market Hypothesis and Identification in Structural VARs represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Bowdoin College Library.This item is available to borrow from 1 library branch.
Resource Information
The item The Efficient Market Hypothesis and Identification in Structural VARs represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Bowdoin College Library.
This item is available to borrow from 1 library branch.
- Summary
- 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
- Note
- 1295
- Label
- The Efficient Market Hypothesis and Identification in Structural VARs
- Title
- The Efficient Market Hypothesis and Identification in Structural VARs
- Summary
- 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
- http://library.link/vocab/creatorName
-
- Sarno, Lucio
- Inter-university Consortium for Political and Social Research [distributor]
- http://library.link/vocab/relatedWorkOrContributorName
- Thornton, Daniel L.
- Label
- The Efficient Market Hypothesis and Identification in Structural VARs
- Note
- 1295
- Control code
- ICPSR01295.v1
- Governing access note
- Access restricted to subscribing institutions
- Label
- The Efficient Market Hypothesis and Identification in Structural VARs
- Note
- 1295
- Control code
- ICPSR01295.v1
- Governing access note
- Access restricted to subscribing institutions
Embed
Settings
Select options that apply then copy and paste the RDF/HTML data fragment to include in your application
Embed this data in a secure (HTTPS) page:
Layout options:
Include data citation:
<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.bowdoin.edu/portal/The-Efficient-Market-Hypothesis-and/FbIyUocaagQ/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.bowdoin.edu/portal/The-Efficient-Market-Hypothesis-and/FbIyUocaagQ/">The Efficient Market Hypothesis and Identification in Structural VARs</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.bowdoin.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="https://link.bowdoin.edu/">Bowdoin College Library</a></span></span></span></span></div>
Note: Adjust the width and height settings defined in the RDF/HTML code fragment to best match your requirements
Preview
Cite Data - Experimental
Data Citation of the Item The Efficient Market Hypothesis and Identification in Structural VARs
Copy and paste the following RDF/HTML data fragment to cite this resource
<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.bowdoin.edu/portal/The-Efficient-Market-Hypothesis-and/FbIyUocaagQ/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.bowdoin.edu/portal/The-Efficient-Market-Hypothesis-and/FbIyUocaagQ/">The Efficient Market Hypothesis and Identification in Structural VARs</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.bowdoin.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="https://link.bowdoin.edu/">Bowdoin College Library</a></span></span></span></span></div>
