Crandi

Recent Developments In Cointegration Mdpi

Leo Migdal
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recent developments in cointegration mdpi

Download the free Kindle app and start reading Kindle books instantly on your smartphone, tablet, or computer - no Kindle device required. Read instantly on your browser with Kindle for Web. Using your mobile phone camera - scan the code below and download the Kindle app. The Cointegrated VAR model allows the user to study both long-run and short-run effects in the same model. It describes an economic system where variables have been pushed away from long-run equilibria by exogenous shocks (the pushing forces) and where short-run adjustments forces pull them back toward long-run equilibria (the pulling forces). In this model framework, basic assumptions underlying an economic theory model can be translated into testable hypotheses of the order of integration and cointegration of key variables and their relationships.

While the latter used to be I(1), macroeconomic and financial data have recently shown a tendency for puzzling long and persistent swings around long-run equilibrium values typical of self-reinforcing feed-back mechanisms. Such persistent fluctuations are frequently indistinguishable from I(2) data, pointing to the need for new econometric solutions. In this book, many of our most distinguished scholars in the field of cointegration offer a variety of solutions to these problems by formulating new models, tests, and asymptotics more suitable for an I(2)... Several of the papers apply these cointegration techniques to a variety of empirical problems, thereby showing how to obtain valuable information about some of the mechanisms that have generated the recent crises. Customer Reviews, including Product Star Ratings help customers to learn more about the product and decide whether it is the right product for them. Publikationen in EconStor sind urheberrechtlich geschützt.

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. Rent and save from the world's largest eBookstore.

Read, highlight, and take notes, across web, tablet, and phone. This book is a printed edition of the Special Issue "Recent Developments in Cointegration" that was published in Econometrics The Cointegrated VAR model allows the user to study both long-run and short-run effects in the same model. It describes an economic system where variables have been pushed away from long-run equilibria by exogenous shocks (the pushing forces) and where short-run adjustments forces pull them back toward long-run equilibria (the pulling forces). In this model framework, basic assumptions underlying an economic theory model can be translated into testable hypotheses of the order of integration and cointegration of key variables and their relationships. While the latter used to be I(1), macroeconomic and financial data have recently shown a tendency for puzzling long and persistent swings around long-run equilibrium values typical of self-reinforcing feed-back mechanisms.

Such persistent fluctuations are frequently indistinguishable from I(2) data, pointing to the need for new econometric solutions. In this book, many of our most distinguished scholars in the field of cointegration offer a variety of solutions to these problems by formulating new models, tests, and asymptotics more suitable for an I(2)... Several of the papers apply these cointegration techniques to a variety of empirical problems, thereby showing how to obtain valuable information about some of the mechanisms that have generated the recent crises. "synopsis" may belong to another edition of this title. US$ 2.64 shipping Learn more about shipping rates Ships within U.S.A. US$ 2.64 shipping Learn more about shipping rates Ships within U.S.A.

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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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