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The cointegrated VAR model : methodology and applications /
This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. Its guiding principle is that good eco...
|a The cointegrated VAR model :
|b methodology and applications /
|c Katalina Juselius.
260
|a Oxford :
|b Oxford University Press,
|c 2006
300
|a xx, 457 p.
490
0
|a Advanced texts in econometrics
505
0
|a Preface -- 1. Bridging economics and econometrics: 1. Introduction -- 2. Models and relations in economics and econometrics -- 3. The probability approach in econometrics, and the VAR -- 2. Specifying the VAR model: 4. The unrestricted VAR -- 5. The cointegrated VAR model -- 6. Deterministic components in the I (1) model -- 7. Estimation in the I (1) model -- 8. Determination of cointegration rank -- 3. Testing hypotheses on cointegration: 9. Recursive tests of constancy -- 10. Testing restrictions on -- 11. Testing restrictions on -- 4. Identification: 12. Identification of the long-run structure -- 13. Identification of the short-run structure -- 14. Identification of common trends -- 15. Identification of a structural MA model -- 5. The I (2) model: 16. Analysing I (2) data with the I (1) model -- 17. The I (2) model: specification and estimation -- 18. Testing hypotheses in the I (2) model -- 6. A methodological approach: 19. Specific-to-general and general-to-specific -- 20. Wage, price, and unemployment dynamics -- 21. Foreign transmission effects: Denmark versus Germany -- 22. Collecting the threads -- Appendix A. The asymptotic tables for cointegration rank -- Appendix B. A roadmap for writing an empirical paper -- Bibliography -- Index.
520
3
|a This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. Its guiding principle is that good econometric work should take econometrics, institutions, and economics seriously.
