Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models

TY - JOUR

T1 - Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models

AU - Johansen, Søren

PY - 2019/3

Y1 - 2019/3

N2 - A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity for the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by two simple examples of relevance for modelling causal graphs.

AB - A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity for the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by two simple examples of relevance for modelling causal graphs.

KW - Faculty of Social Sciences

KW - adjustment coefficients

KW - cointegrating coefficients

KW - CVAR

KW - causal models

U2 - 10.3390/econometrics70100002

DO - 10.3390/econometrics70100002

M3 - Journal article

SN - 2225-1146

VL - 7

JO - Econometrics

JF - Econometrics

IS - 1

ER -