The Cointegrated VAR Methodology
Publikation: Bidrag til bog/antologi/rapport › Encyclopædiartikel › Forskning › fagfællebedømt
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The Cointegrated VAR Methodology. / Juselius, Katarina.
Oxford Research Encyclopedia of Economics and Finance. Oxford University Press, 2018. s. 1-26.Publikation: Bidrag til bog/antologi/rapport › Encyclopædiartikel › Forskning › fagfællebedømt
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TY - ENCYC
T1 - The Cointegrated VAR Methodology
AU - Juselius, Katarina
PY - 2018/5
Y1 - 2018/5
N2 - The cointegrated VAR approach combines differences of variables with cointegration among them and by doing so allows the user to study both long-run and short-run effects in the same model. The CVAR 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 a theory model can be translated into testable hypotheses on the order of integration and cointegration of key variables and their relationships. The set of hypotheses describes the empirical regularities we would expect to see in the data if the long-run properties of a theory model are empirically relevant.
AB - The cointegrated VAR approach combines differences of variables with cointegration among them and by doing so allows the user to study both long-run and short-run effects in the same model. The CVAR 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 a theory model can be translated into testable hypotheses on the order of integration and cointegration of key variables and their relationships. The set of hypotheses describes the empirical regularities we would expect to see in the data if the long-run properties of a theory model are empirically relevant.
KW - Faculty of Social Sciences
KW - cointegration
KW - error correction
KW - vector autoregressive models
KW - short-run effects
KW - long-run effects
KW - pushing force
KW - pulling force
KW - dummy variables
KW - regime shifts
KW - identification
KW - linking theory with evidence
U2 - 10.1093/acrefore/9780190625979.013.247
DO - 10.1093/acrefore/9780190625979.013.247
M3 - Encyclopedia chapter
SP - 1
EP - 26
BT - Oxford Research Encyclopedia of Economics and Finance
PB - Oxford University Press
ER -
ID: 199176127