Cointegration and adjustment in the CVAR(É) representation of some partially observed CVAR(1) models

Artikel

A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity for the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by two simple examples of relevance for modelling causal graphs.

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• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 7 ; Year: 2019 ; Issue: 1 ; Pages: 1-10 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: adjustment coefficients ; cointegrating coefficients ; CVAR ; causal models

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Johansen, Søren
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2019

Further information

• DOI: doi:10.3390/econometrics7010002
• Handle: http://hdl.handle.net/10419/247503