Recent Developments in Cointegration

• Autor principal: Katarina Juselius (Ed.) (auth)
• Formato: Recurso Electrónico Capítulo de Livro
• Idioma: inglês
• Publicado em: MDPI - Multidisciplinary Digital Publishing Institute 2018
• Assuntos: Tests of Common Trends; Near Integration; I(1) and I(2) models; PPP and UIP; Panel Data Cointegration; Extracting Common Trends; Financial Obligations and Crisis Cycles; House Price Model; Imperfect Knowledge; Multivariate Cointegration; Performance of Algorithms
• Acesso em linha: DOAB: download the publication; DOAB: description of the publication

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 tow...