Artikel
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 is related to econometric concepts of exogeneity. The economic equilibrium corresponds to the so-called long-run value (Johansen 2005), the long-run impact matrix, C; captures the comparative statics and the exogenous variables are the common trends. The adjustment parameters of the CVAR are related to expectations formation, market clearing, nominal rigidities, etc. Finally, the general-partial equilibrium distinction is analyzed.
- Sprache
-
Englisch
- Erschienen in
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Journal: Economics: The Open-Access, Open-Assessment E-Journal ; ISSN: 1864-6042 ; Volume: 2 ; Year: 2008 ; Issue: 2008-36 ; Pages: 1-29 ; Kiel: Kiel Institute for the World Economy (IfW)
- 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
Hybrid New Keynesian Phillips Curve
general equilibrium
VAR-Modell
Kointegration
Unit Root Test
Wirtschaftsmodell
New-Keynesian Phillips Curve
Allgemeines Gleichgewicht
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Møller, Niels Framroze
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2008
- DOI
-
doi:10.5018/economics-ejournal.ja.2008-36
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 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
- Artikel
Beteiligte
- Møller, Niels Framroze
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2008
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