On the Classification of the Slavic Menaia Manuscripts Dated from the 11th to 14th Centuries

In the present paper we analyze nine manuscripts from the 11th–14th century Menaia (Greek: µ??????), Old-Slavic hymnographic texts, using a vector space model. The analysis and classification of the manuscripts in previous studies have been rather subjective. In an attempt to be objective we use contemporary research methods. Vector analysis allows one to separate the Putyatina Menaion and the Menaion Q.?.1.25 from the set of analyzed texts, since both manuscripts share both textological and lexical similarities. Similar findings were reached in existing studies. Manuscript BAN 16.14.13 is shown to be quite similar to the set of analyzed texts. The results are new to the literature

Testing identification via heteroskedasticity in structural vector autoregressive models

A correction: The Econometrics Journal, Volume 24, Issue 1, January 2021, Page 198, https://doi.org/10.1093/ectj/utaa015Tests for identification through heteroskedasticity in structural vector autoregressive analysis are developed for models with two volatility states where the time point of volatility change is known. The tests are Wald-type tests for which only the unrestricted model, including the covariance matrices of the two volatility states, has to be estimated. The residuals of the model are assumed to be from the class of elliptical distributions, which includes Gaussian models. The asymptotic null distributions of the test statistics are derived, and simulations are used to explore their small-sample properties. Two empirical examples illustrate the usefulness of the tests in applied work.Peer reviewe

On the Long-run Neutrality of Demand Shocks

Long run neutrality restrictions have been widely used to identify structural shocks in VAR models. This paper revisits the seminal paper by Blanchard and Quah (1989), and investigates their identification scheme. We use structural VAR models with smoothly changing covariances for identification of shocks. The resulted impulse responses are economically meaningful. Formal test results reject the long-run neutrality of demand shocks

Structural VectorAutoregressions withSmooth Transition inVariances

In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance, assuming known dates for variance changes is often unrealistic while more exible models based on GARCH or Markov switching residuals are diffcult to handle from a statistical and computational point of view. Therefore we propose a model based on a smooth change in variance that is exible as well as relatively easy to estimate. The model is applied to a five-dimensional system of U.S. variables to explore the interaction between monetary policy and the stock market. It is found that previously used conventional identification schemes in this context are rejected by the data if heteroskedasticity is allowed for. Shocks identified via heteroskedasticity have a different economic interpretation than the shocks identified using conventional methods

The Anchoring of Inflation Expectations in the Short and in the Long Run

This paper introduces structural VAR analysis as a tool for investigating the anchoring of inflation expectations. We show that U.S. consumers’ inflation expectations are anchored in the long run because macro-news shocks are long-run neutral for long-term inflation expectations. The identification of structural shocks helps to explain why inflation expectations deviate from the central bank’s target in the short run. Our results indicate that the recent decline of long-term inflation expectations does not result from deanchoring macro-news but can be attributed to downward adjustments of consumers’ expectations about the central bank’s inflation target