The Cointegrated VAR Methodology

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The Cointegrated VAR Methodology. / Juselius, Katarina.

Oxford Research Encyclopedia of Economics and Finance. Oxford University Press, 2018. p. 1-26.

Research output: Chapter in Book/Report/Conference proceedingEncyclopedia chapterResearchpeer-review

Harvard

Juselius, K 2018, The Cointegrated VAR Methodology. in Oxford Research Encyclopedia of Economics and Finance. Oxford University Press, pp. 1-26. https://doi.org/10.1093/acrefore/9780190625979.013.247

APA

Juselius, K. (2018). The Cointegrated VAR Methodology. In Oxford Research Encyclopedia of Economics and Finance (pp. 1-26). Oxford University Press. https://doi.org/10.1093/acrefore/9780190625979.013.247

Vancouver

Juselius K. The Cointegrated VAR Methodology. In Oxford Research Encyclopedia of Economics and Finance. Oxford University Press. 2018. p. 1-26 https://doi.org/10.1093/acrefore/9780190625979.013.247

Author

Juselius, Katarina. / The Cointegrated VAR Methodology. Oxford Research Encyclopedia of Economics and Finance. Oxford University Press, 2018. pp. 1-26

Bibtex

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title = "The Cointegrated VAR Methodology",
abstract = "The cointegrated VAR approach combines differences of variables with cointegration among them and by doing so allows the user to study both long-run and short-run effects in the same model. The CVAR 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 a theory model can be translated into testable hypotheses on the order of integration and cointegration of key variables and their relationships. The set of hypotheses describes the empirical regularities we would expect to see in the data if the long-run properties of a theory model are empirically relevant.",
keywords = "Faculty of Social Sciences, cointegration, error correction, vector autoregressive models, short-run effects, long-run effects, pushing force, pulling force, dummy variables, regime shifts, identification, linking theory with evidence",
author = "Katarina Juselius",
year = "2018",
month = may,
doi = "10.1093/acrefore/9780190625979.013.247",
language = "English",
pages = "1--26",
booktitle = "Oxford Research Encyclopedia of Economics and Finance",
publisher = "Oxford University Press",
address = "United Kingdom",

}

RIS

TY - ENCYC

T1 - The Cointegrated VAR Methodology

AU - Juselius, Katarina

PY - 2018/5

Y1 - 2018/5

N2 - The cointegrated VAR approach combines differences of variables with cointegration among them and by doing so allows the user to study both long-run and short-run effects in the same model. The CVAR 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 a theory model can be translated into testable hypotheses on the order of integration and cointegration of key variables and their relationships. The set of hypotheses describes the empirical regularities we would expect to see in the data if the long-run properties of a theory model are empirically relevant.

AB - The cointegrated VAR approach combines differences of variables with cointegration among them and by doing so allows the user to study both long-run and short-run effects in the same model. The CVAR 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 a theory model can be translated into testable hypotheses on the order of integration and cointegration of key variables and their relationships. The set of hypotheses describes the empirical regularities we would expect to see in the data if the long-run properties of a theory model are empirically relevant.

KW - Faculty of Social Sciences

KW - cointegration

KW - error correction

KW - vector autoregressive models

KW - short-run effects

KW - long-run effects

KW - pushing force

KW - pulling force

KW - dummy variables

KW - regime shifts

KW - identification

KW - linking theory with evidence

U2 - 10.1093/acrefore/9780190625979.013.247

DO - 10.1093/acrefore/9780190625979.013.247

M3 - Encyclopedia chapter

SP - 1

EP - 26

BT - Oxford Research Encyclopedia of Economics and Finance

PB - Oxford University Press

ER -

ID: 199176127