Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing

Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be very misleading even with fairly large samples, especially when the number of lags or the number of equations is not small, we propose a general simulation-based technique that allows one to control completely the level of tests in parametric VAR models. In particular, we show that maximized Monte Carlo tests [Dufour (2002)] can provide provably exact tests for such models, whether they are stationary or integrated. Applications to order selection and causality testing are considered as special cases. The technique developed is applied to quarterly and monthly VAR models of the U.S. economy, comprising income, money, interest rates and prices, over the period 1965-1996.

The Dynamic (In)efficiency of Monetary Policy by Committee

This paper develops a model where the value of the monetary policy instrument is selected by a heterogenous committee engaged in a dynamic voting game. Committee members differ in their institutional power and, in certain states of nature, they also differ in their preferred instrument value. Preference heterogeneity and concern for the future interact to generate decisions that are dynamically ineffcient and inertial around the previously-agreed instrument value. This model endogenously generates autocorrelation in the policy variable and provides an explanation for the empirical observation that the nominal interest rate under the central bank’s control is infrequently adjusted.

Ordinal Cost Sharing.

We ask how the three known mechanisms for solving cost sharing problems with homogeneous cost functions - the value, the proportional, and the serial mechanisms - should be extended to arbitrary problem. We propose the Ordinality axiom, which requires that cost shares be invariante under all transactions preserving the nature of a cost sharing problem.

A Semi-Parametric Factor Model for Interest Rates.

Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor models of interest rates but proposes a semi-parametric procedure to model interest rates.

Revue internationale de l'économie sociale : Recma, revue des études coopératives, mutualistes et associatives

1998/07 (A77,N269).

Revue internationale de l'économie sociale : Recma, revue des études coopératives, mutualistes et associatives

1999/10 (A78,N274).

Revue internationale de l'économie sociale : Recma, revue des études coopératives, mutualistes et associatives

1999/04 (A78,N272)-1999/06.

Revue internationale de l'économie sociale : Recma, revue des études coopératives, mutualistes et associatives

1995 (A74,N257).

Revue internationale de l'économie sociale : Recma, revue des études coopératives, mutualistes et associatives

2000 (A79,N277).

Revue internationale de l'économie sociale : Recma, revue des études coopératives, mutualistes et associatives

1998/04 (A77,N268)-1998/06.

Revue internationale de l'économie sociale : Recma, revue des études coopératives, mutualistes et associatives

1995/01 (A74,N255)-1995/03.

Revue internationale de l'économie sociale : Recma, revue des études coopératives, mutualistes et associatives

2000/04 (A79,N275)- (A79,N276).

Revue internationale de l'économie sociale : Recma, revue des études coopératives, mutualistes et associatives

2000/10 (A79,N278).

Revue internationale de l'économie sociale : Recma, revue des études coopératives, mutualistes et associatives

1998/01 (A77,N267)-1998/03.

Revue internationale de l'économie sociale : Recma, revue des études coopératives, mutualistes et associatives

1999/07 (A78,N273)-1999/09.