Models and relations in economics and econometrics

TY - JOUR

T1 - Models and relations in economics and econometrics

AU - Juselius, Katarina

N1 - JEL Classification: B4, C5, E5

PY - 1999

Y1 - 1999

N2 - Based on a money market analysis using the cointegrated VAR model the paper demonstrates some possible pitfalls in macroeconomic inference as a direct consequence of inadequate stochastic model formulation. A number of questions related to concepts such as empirical and theoretical steady-states, speed of adjustment, feedback and interaction effects, and driving forces are addressed within the framework of the cointegrated VAR model. The interpretation and analysis of common driving trends are related to the notion of shocks or disturbances to a system, distinguishing between permanent and transitory, and anticipated and unanticipated effects

AB - Based on a money market analysis using the cointegrated VAR model the paper demonstrates some possible pitfalls in macroeconomic inference as a direct consequence of inadequate stochastic model formulation. A number of questions related to concepts such as empirical and theoretical steady-states, speed of adjustment, feedback and interaction effects, and driving forces are addressed within the framework of the cointegrated VAR model. The interpretation and analysis of common driving trends are related to the notion of shocks or disturbances to a system, distinguishing between permanent and transitory, and anticipated and unanticipated effects

U2 - 10.1080/13501789900000017

DO - 10.1080/13501789900000017

M3 - Journal article

SN - 1350-178X

VL - 6

SP - 259

EP - 290

JO - Journal of Economic Methodology

JF - Journal of Economic Methodology

IS - 2

ER -