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...

• Main Author: Juselius, Katarina
• Format: Book
• Language: English
• Published: Oxford : Oxford University Press, 2006
• Series: Advanced texts in econometrics
• Subjects: ECONOMETRIA; MODELOS ECONOMICOS; COINTEGRACION; MODELO DE REGRESION; MODELO AUTORREGRESIVO; INFLACION; POLITICA MONETARIA; ESTUDIOS DE CASOS; APLICACIONES; CASOS PRACTICOS

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.