Abstract
The Cointegrated VAR model allows the user to study both long-run and shortrun
effects in the same model. It describes an economic system where variables
have been pushed away from long-run equilibria by exogenous shocks (the
pushing forces) and where short-run adjustments forces pull them back
toward long-run equilibria (the pulling forces). In this model framework, basic
assumptions underlying an economic theory model can be translated into
testable hypotheses of the order of integration and cointegration of key variables
and their relationships. While the latter used to be I(1), macroeconomic and
financial data have recently shown a tendency for puzzling long and persistent
swings around long-run equilibrium values typical of self-reinforcing feed-back
mechanisms. Such persistent fluctuations are frequently indistinguishable from
I(2) data, pointing to the need for new econometric solutions. In this book, many
of our most distinguished scholars in the field of cointegration offer a variety of
solutions to these problems by formulating new models, tests, and asymptotics
more suitable for an I(2) world. Several of the papers apply these cointegration
techniques to a variety of empirical problems, thereby showing how to obtain
valuable information about some of the mechanisms that have generated the
recent crises.
effects in the same model. It describes an economic system where variables
have been pushed away from long-run equilibria by exogenous shocks (the
pushing forces) and where short-run adjustments forces pull them back
toward long-run equilibria (the pulling forces). In this model framework, basic
assumptions underlying an economic theory model can be translated into
testable hypotheses of the order of integration and cointegration of key variables
and their relationships. While the latter used to be I(1), macroeconomic and
financial data have recently shown a tendency for puzzling long and persistent
swings around long-run equilibrium values typical of self-reinforcing feed-back
mechanisms. Such persistent fluctuations are frequently indistinguishable from
I(2) data, pointing to the need for new econometric solutions. In this book, many
of our most distinguished scholars in the field of cointegration offer a variety of
solutions to these problems by formulating new models, tests, and asymptotics
more suitable for an I(2) world. Several of the papers apply these cointegration
techniques to a variety of empirical problems, thereby showing how to obtain
valuable information about some of the mechanisms that have generated the
recent crises.
| Originalsprog | Engelsk |
|---|
| Udgivelsessted | Basel, Switzerland |
|---|---|
| Forlag | MDPI |
| Antal sider | 210 |
| ISBN (Trykt) | 978-3-03842-955-5 |
| ISBN (Elektronisk) | 978-3-03842-956-2 |
| DOI | |
| Status | Udgivet - mar. 2018 |