Recent Developments in Cointegration
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...
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| المؤلف الرئيسي: | |
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| التنسيق: | Online |
| اللغة: | الإنجليزية |
| منشور في: |
MDPI - Multidisciplinary Digital Publishing Institute
2021
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| الموضوعات: | |
| الوصول للمادة أونلاين: | 27259 |
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| _version_ | 1869526129438621696 |
|---|---|
| author | Katarina Juselius (Ed.) |
| author_browse | Katarina Juselius (Ed.) |
| author_facet | Katarina Juselius (Ed.) |
| author_sort | Katarina Juselius (Ed.) |
| collection | Directory of Open Access Books |
| description | 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) world. 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. |
| format | Online |
| id | doab-20.500.12854ir-57766 |
| institution | Directory of Open Access Books |
| language | eng |
| publishDate | 2021 |
| publishDateRange | 2021 |
| publishDateSort | 2021 |
| publisher | MDPI - Multidisciplinary Digital Publishing Institute |
| publisherStr | MDPI - Multidisciplinary Digital Publishing Institute |
| record_format | ojs |
| spelling | doab-20.500.12854ir-577662023-12-20T18:40:36Z Recent Developments in Cointegration Katarina Juselius (Ed.) QA1-939 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 bic Book Industry Communication::P Mathematics & science 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) world. 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. 2021-02-12T01:06:06Z 2021-02-12T01:06:06Z 2018-07-05 13:20:18 2018 book 27259 9783038429555 9783038429562 https://directory.doabooks.org/handle/20.500.12854/57766 eng image/png Attribution-NonCommercial-NoDerivatives 4.0 International http://www.mdpi.com/books/pdfview/book/669 http://www.mdpi.com/books/pdfview/book/669 MDPI - Multidisciplinary Digital Publishing Institute 46cabcaa-dd94-4bfe-87b4-55023c1b36d0 9783038429555 9783038429562 VIII, 210 open access |
| spellingShingle | QA1-939 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 bic Book Industry Communication::P Mathematics & science Katarina Juselius (Ed.) Recent Developments in Cointegration |
| title | Recent Developments in Cointegration |
| title_full | Recent Developments in Cointegration |
| title_fullStr | Recent Developments in Cointegration |
| title_full_unstemmed | Recent Developments in Cointegration |
| title_short | Recent Developments in Cointegration |
| title_sort | recent developments in cointegration |
| topic | QA1-939 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 bic Book Industry Communication::P Mathematics & science |
| topic_facet | QA1-939 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 bic Book Industry Communication::P Mathematics & science |
| url | 27259 |
| work_keys_str_mv | AT katarinajuseliused recentdevelopmentsincointegration |