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Applied Cointegration Analysis In The Mirror Of Macroeconomic Jstor

Leo Migdal
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applied cointegration analysis in the mirror of macroeconomic jstor

Applied cointegration analysis has much to gain from strong links with economic theory. For example, the current generation of equilibrium macroeconomic models have simple predictions for cointegrating vectors. These models also suggest that important information about the economic structure can be found in the short run dynamics, which most cointegration studies disregard. Simulations of a stochastic business cycle model show that tests of cointegrating vectors, forecasts, and variance decompositions based on long run assumptions can be sharpened by imposing even very simple economic restrictions. Working Papers Journal Articles Books and Chapters Software Components EconPapers FAQ Archive maintainers FAQ Cookies at EconPapers

The RePEc blog The RePEc plagiarism page Paul Söderlind and Anders Vredin (Obfuscate( 'riksbank.se', 'anders.vredin' )) Journal of Applied Econometrics, 1996, vol. 11, issue 4, 363-81 Applied cointegration analysis has much to gain from strong links with economic theory. For example, the current generation of equilibrium macroeconomic models have simple predictions for cointegrating vectors.

These models also suggest that important information about the economic structure can be found in the short-run dynamics, which most cointegration studies disregard. Simulations of a stochastic business cycle model show that tests of cointegrating vectors, forecasts, and variance decompositions based on long-run assumptions can be sharpened by imposing even very simple economic restrictions. Vredin, A and P Söderlind (1995), ‘DP1120 Applied Cointegration Analysis in the Mirror of Macroeconomic Theory‘, CEPR Discussion Paper No. 1120. CEPR Press, Paris & London. https://cepr.org/publications/dp1120

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Academia.edu no longer supports Internet Explorer. To browse Academia.edu and the wider internet faster and more securely, please take a few seconds to upgrade your browser. Sorry, preview is currently unavailable. You can download the paper by clicking the button above. As the access to this document is restricted, you may want to look for a different version below or All material on this site ha...

You Can Help Correct Errors And Omissions. When Requesting A

You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jae:japmet:v:11:y:1996:i:4:p:363-81. See general information about how to correct material in RePEc. If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potenti...