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...

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Bibliographic Details
Main Author: Juselius, Katarina
Format: Book
Language:English
Published: Oxford : Oxford University Press, 2006
Series:Advanced texts in econometrics
Subjects:
Table of Contents:
  • 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.