Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models
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Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models. / Johansen, Søren.
I: Econometrics, Bind 7, Nr. 1, 10.01.2019.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models
AU - Johansen, Søren
PY - 2019/1/10
Y1 - 2019/1/10
N2 - A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity for the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by two simple examples of relevance for modelling causal graphs.
AB - A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity for the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by two simple examples of relevance for modelling causal graphs.
KW - Faculty of Social Sciences
KW - adjustment coefficients
KW - cointegrating coefficients
KW - CVAR
KW - causal models
U2 - 10.3390/econometrics7010002
DO - 10.3390/econometrics7010002
M3 - Journal article
VL - 7
JO - Econometrics
JF - Econometrics
SN - 2225-1146
IS - 1
ER -
ID: 214128827