The Cointegrated VAR Model: Methodology and Applications

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9780199285679: The Cointegrated VAR Model: Methodology and Applications

This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability.

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. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.

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L'autore:

Katarina Juselius obtained her Ph.D from the Swedish School of Economics, Helsinki in 1983. In 1985 she became Associate Professor at the University of Copenhagen and in 1996 she was appointed the Chair of Macroeconometrics. She has published extensively on the methodology of Cointegrated VAR Models with applications to Monetary Transmission Mechanisms, Policy Control Rules, Price Linkages, Wage-, Price, and Unemployment Dynamics. She has been the leader of numerous research projects, and has been on the editorial boards of the International Journal of Forecasting, the Journal of Business and Economic Statistics, and is presently serving the Journal of Economic Methodology. In 1995-98 she was a member of the Danish Social Sciences Research Council and is presently a member of the EUROCORES committee at the European Science Foundation.

Contenuti:

  • Bridging economics and econometrics
  • 1: Introduction
  • 2: Models and Relations in Economics and Econometrics
  • 3: The Probability Approach in Econometrics and the VAR
  • 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
  • Testing Hypotheses on cointegration
  • 9: Recursive Tests of Constancy
  • 10: Testing Restrictions on Beta
  • 11: Testing Restrictions on Alpha
  • 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
  • The I(2) Model
  • 16: Analyzing I(2) Data with the I(1) Model
  • 17: The I(2) Model: specification and estimation
  • 18: Testing Hypotheses in the I(2) Model
  • 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

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Katarina Juselius
Editore: Oxford University Press, USA (2007)
ISBN 10: 0199285675 ISBN 13: 9780199285679
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