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Pdf Recent Developments In Cointegration Mdpi

Leo Migdal
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pdf recent developments in cointegration mdpi

Publikationen in EconStor sind urheberrechtlich geschützt. 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. This editorial review discusses the significance of cointegration in econometric modeling following the great recession, highlighting contributions across theoretical and empirical applications that address long-run equilibrium and feedback mechanisms. It emphasizes the importance of establishing a connection between economic theories and empirical data through the Cointegrated VAR (CVAR) model, advocating for robust statistical methods and collective research to enhance algorithm reliability in estimating... Two years after the restructuring of RED, it is appropriate to reflect on the process and its outcome.

The details of the restructuring could be found in a previous editorial (V21, no. 2) and included mainly the addition of the area editors that are responsible for submission handling within particular areas of expertise. Two years later, the editorial board team certainly provides better service to authors. We are gradually approaching our targets for timely review of papers but we are not yet there; some papers still take too long to review, and some papers are returned to authors with two... Nevertheless, feedback from authors suggests that by and large, we do provide good reviews that are written by reviewers that are experts in the subject matter of the papers. Letters in Spatial and Resource Sciences, 2010

Research output: Book/Report › Book › Research Research output: Book/Report › Book › Research T1 - Recent Developments in Cointegration N2 - The Cointegrated VAR model allows the user to study both long-run and shortruneffects in the same model. It describes an economic system where variableshave been pushed away from long-run equilibria by exogenous shocks (thepushing forces) and where short-run adjustments forces pull them backtoward long-run equilibria (the pulling forces). In this model framework, basicassumptions underlying an economic theory model can be translated intotestable hypotheses of the order of integration and cointegration of key variablesand their relationships.

While the latter used to be I(1), macroeconomic andfinancial data have recently shown a tendency for puzzling long and persistentswings around long-run equilibrium values typical of self-reinforcing feed-backmechanisms. Such persistent fluctuations are frequently indistinguishable fromI(2) data, pointing to the need for new econometric solutions. In this book, manyof our most distinguished scholars in the field of cointegration offer a variety ofsolutions to these problems by formulating new models, tests, and asymptoticsmore suitable for an I(2) world. Several of the papers apply these cointegrationtechniques to a variety of empirical problems, thereby showing how to obtainvaluable information about some of the mechanisms that have generated therecent crises. AB - The Cointegrated VAR model allows the user to study both long-run and shortruneffects in the same model. It describes an economic system where variableshave been pushed away from long-run equilibria by exogenous shocks (thepushing forces) and where short-run adjustments forces pull them backtoward long-run equilibria (the pulling forces).

In this model framework, basicassumptions underlying an economic theory model can be translated intotestable hypotheses of the order of integration and cointegration of key variablesand their relationships. While the latter used to be I(1), macroeconomic andfinancial data have recently shown a tendency for puzzling long and persistentswings around long-run equilibrium values typical of self-reinforcing feed-backmechanisms. Such persistent fluctuations are frequently indistinguishable fromI(2) data, pointing to the need for new econometric solutions. In this book, manyof our most distinguished scholars in the field of cointegration offer a variety ofsolutions to these problems by formulating new models, tests, and asymptoticsmore suitable for an I(2) world. Several of the papers apply these cointegrationtechniques to a variety of empirical problems, thereby showing how to obtainvaluable information about some of the mechanisms that have generated therecent crises.

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Publikationen In EconStor Sind Urheberrechtlich Geschützt. Academia.edu No Longer Supports

Publikationen in EconStor sind urheberrechtlich geschützt. 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. This editorial review discusses the significance of cointegration in econometric modeling following the great recession, highlighting contributions across theoretical ...

The Details Of The Restructuring Could Be Found In A

The details of the restructuring could be found in a previous editorial (V21, no. 2) and included mainly the addition of the area editors that are responsible for submission handling within particular areas of expertise. Two years later, the editorial board team certainly provides better service to authors. We are gradually approaching our targets for timely review of papers but we are not yet the...

Research Output: Book/Report › Book › Research Research Output: Book/Report

Research output: Book/Report › Book › Research Research output: Book/Report › Book › Research T1 - Recent Developments in Cointegration N2 - The Cointegrated VAR model allows the user to study both long-run and shortruneffects in the same model. It describes an economic system where variableshave been pushed away from long-run equilibria by exogenous shocks (thepushing forces) and where short-run ...

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While the latter used to be I(1), macroeconomic andfinancial data have recently shown a tendency for puzzling long and persistentswings around long-run equilibrium values typical of self-reinforcing feed-backmechanisms. Such persistent fluctuations are frequently indistinguishable fromI(2) data, pointing to the need for new econometric solutions. In this book, manyof our most distinguished scholar...

In This Model Framework, Basicassumptions Underlying An Economic Theory Model

In this model framework, basicassumptions underlying an economic theory model can be translated intotestable hypotheses of the order of integration and cointegration of key variablesand their relationships. While the latter used to be I(1), macroeconomic andfinancial data have recently shown a tendency for puzzling long and persistentswings around long-run equilibrium values typical of self-reinfo...