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

Søren Johansen

doi:10.3390/econometrics70100002

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

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Abstract

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 a two simple examples of relevance for modelling causal graphs.

Originalsprog	Engelsk
Tidsskrift	Econometrics
Vol/bind	7
Udgave nummer	1
Antal sider	10
ISSN	2225-1146
DOI	https://doi.org/10.3390/econometrics70100002
Status	Udgivet - mar. 2019

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10.3390/econometrics70100002Licens: CC BY

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

abstract = "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.",

keywords = "Faculty of Social Sciences, adjustment coefficients, cointegrating coefficients, CVAR, causal models",

author = "S{\o}ren Johansen",

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

AU - Johansen, Søren

PY - 2019/3

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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 -

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

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