Structural Changes in the Real GNP Interdependence of the USA, West Germany, and Japan: 1970–1986
This chapter first locates quarters in the early 1970s at which the cUovariance matrices of the innovation vectors have shifted for the real GNPs of the USA, West Germany, and Japan treated as univariate series. The chapter then exhibits differences in the impulse response time profiles of the two models estimated from the data primarily before and after the break as a concise Summary of the changes in dynamic interactions of the three real GNPs.
Unable to display preview. Download preview PDF.
- Aoki, M. (1990a), A state space time series modeling method without individual defending. Forthcoming in Journal of Time Series Analysis. Google Scholar
- Goldfeld, S.M. and Quandt, R.E. (1976), Studies in Nonlinear Estimation. Cambridge: B allinger.Google Scholar
- Sims, C.A. (1986), Are forecasting models usable for policy analysis? Federal Reserve Bank of Minneapolis Quarterly Review, Winter, 2–16.Google Scholar