Arbeitspapier
Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity in the economic model implies the econometric concept of strong exogeneity for â. The economic equilibrium corresponds to the so-called long-run value (Johansen 2005), the comparative statics are captured by the long-run impact matrix, C; and the exogenous variables are the common trends. Also, the adjustment parameters of the CVAR are shown to be interpretable in terms of expectations formation, market clearing, nominal rigidities, etc. The general-partial equilibrium distinction is also discussed.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Discussion Papers ; No. 2008-21
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Cointegrated VAR
unit root approximation
economic theory models
expectations
general equilibrium
DSGE models
VAR-Modell
Kointegration
Wirtschaftsmodell
Allgemeines Gleichgewicht
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Møller, Niels Framroze
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Møller, Niels Framroze
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2008
Ähnliche Objekte (12)
Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
Structural changes in the cointegrated vector autoregressive model
Likelihood inference for a fractionally cointegrated vector autoregressive model
The cointegrated vector autoregressive model with general deterministic terms
Partial cointegrated vector autoregressive models with structural breaks in deterministic terms
Cointegration between trends and their estimators in state space models and cointegrated vector autoregressive models
Cointegrated vector autoregressive processes with continuous structural changes
Temporal aggregation in first order cointegrated vector autoregressive
More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms
Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
Structural changes in the cointegrated vector autoregressive model
Likelihood inference for a fractionally cointegrated vector autoregressive model
The cointegrated vector autoregressive model with general deterministic terms
Partial cointegrated vector autoregressive models with structural breaks in deterministic terms
Cointegration between trends and their estimators in state space models and cointegrated vector autoregressive models
Cointegrated vector autoregressive processes with continuous structural changes
Temporal aggregation in first order cointegrated vector autoregressive
More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms
Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
Structural changes in the cointegrated vector autoregressive model
Likelihood inference for a fractionally cointegrated vector autoregressive model
The cointegrated vector autoregressive model with general deterministic terms
Partial cointegrated vector autoregressive models with structural breaks in deterministic terms
Cointegration between trends and their estimators in state space models and cointegrated vector autoregressive models
Cointegrated vector autoregressive processes with continuous structural changes
Temporal aggregation in first order cointegrated vector autoregressive