Download or read book The Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model written by Søren Johansen and published by . This book was released on 2002 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model written by Søren Johansen and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Regression coefficients are interpreted by a counterfactual experiment. For simultaneous equations this experiment can be implemented if the coefficients are identified, and throws some light on the role of instruments and the method of indirect least squares. This paper discusses another counterfactual experiment in the vector autoregressive model in order to interpret the coefficients of an identified cointegrating relation. The dynamics of the model is used to implement a long-run change by changing the current values. The counterfactual experiment can be conducted precisely when the cointegrating relation is identified.

Download or read book Likelihood Based Inference in Cointegrated Vector Autoregressive Models written by Søren Johansen and published by OUP Oxford. This book was released on 1995-12-28 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had gained popularity because it can at the same time capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series. It also allows relevant economic questions to be formulated in a consistent statistical framework. Part I of the book is planned so that it can be used by those who want to apply the methods without going into too much detail about the probability theory. The main emphasis is on the derivation of estimators and test statistics through a consistent use of the Guassian likelihood function. It is shown that many different models can be formulated within the framework of the autoregressive model and the interpretation of these models is discussed in detail. In particular, models involving restrictions on the cointegration vectors and the adjustment coefficients are discussed, as well as the role of the constant and linear drift. In Part II, the asymptotic theory is given the slightly more general framework of stationary linear processes with i.i.d. innovations. Some useful mathematical tools are collected in Appendix A, and a brief summary of weak convergence in given in Appendix B. The book is intended to give a relatively self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. The asymptotic theory requires some familiarity with the theory of weak convergence of stochastic processes. The theory is treated in detail with the purpose of giving the reader a working knowledge of the techniques involved. Many exercises are provided. The theoretical analysis is illustrated with the empirical analysis of two sets of economic data. The theory has been developed in close contract with the application and the methods have been implemented in the computer package CATS in RATS as a result of a rcollaboation with Katarina Juselius and Henrik Hansen.

Download or read book The Cointegrated VAR Model written by Katarina Juselius and published by OUP Oxford. This book was released on 2006-12-07 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.

Download or read book Workbook on Cointegration written by Peter Reinhard Hansen and published by Oxford University Press, USA. This book was released on 1998 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.

Download or read book The Interpretation of Coefficients of the Vector Autoregressive Model written by Elcyon Caiado Rocha Lima and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Johansen (2002) suggests a counterfactual experiment that can be implemented in the vector autoregressive model to interpret the coefficients of an identified cointegrating relation. This article proposes an alternative counterfactual experiment ("design of experiment") that, contrary to the one suggested by Johansen, does not imply a dichotomy of short run and long run values. The experiment interprets the coefficients of an identified cointegrating relation. It is based on the idea that the coefficients, and some operations with them, are projections - at different horizons - conditional on paths of the variables of the model and on exogenous shocks in the error terms of the equations of a structural VAR. The model dynamics can be used to test if these values can be generated by exogenous shocks in these error terms. It is also feasible to construct, as was shown by Doan, Litterman and Sims (1984), a plausibility index for these exogenous shocks. The analysis of the proposed conditional projections can be as useful as checking coefficients, of the matrix with the contemporaneous correlations among variables, for the correct sign and significance in a structural VAR. It can be an important complement to the impulse response function analysis.

Download or read book Likelihood based Inference in Cointegrated Vector Autoregressive Models written by Søren Johansen and published by Oxford University Press, USA. This book was released on 1995 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.

Download or read book New Directions in Econometric Practice written by Wojciech Charemza and published by Edward Elgar Publishing. This book was released on 1997 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work on econometrics offers an analysis of econometric practice, encompassing recent modelling methodology and PC-GIVE. It is intended for advanced undergraduates and graduate students.

Download or read book Identifying Structural Breaks in Cointegrated Vector Autoregressive Models written by Håvard Hungnes and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article suggests an alternative formulation of the cointegrated vector autoregressive (VAR) model such that the coefficients for the deterministic terms have straightforward interpretations. These coefficients can be interpreted as growth rates and cointegration mean level coefficients and express long-run properties of the model. For example, the growth rate coefficients tell us how much to expect (unconditionally) the variables in the system to grow from one period to the next, representing the underlying (steady state) growth in the variables. The estimation of the proposed formulation is made operationally in GRaM, which is a program for Ox Professional. GRaM can be used for analysing structural breaks when the deterministic terms include shift dummies and broken trends. By applying a formulation with interpretable deterministic components, different types of structural breaks can be identified. Shifts in both intercepts and growth rates, or combinations of these, can be tested for. The ability to distinguish between different types of structural breaks makes the procedure superior compared with alternative procedures. Furthermore, the procedure utilizes the information more efficiently than alternative procedures. Finally, interpretable coefficients of different types of structural breaks can be identified.

Download or read book A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model written by Søren Johansen and published by . This book was released on 2000 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Using R for Principles of Econometrics written by Constantin Colonescu and published by Lulu.com. This book was released on 2017-12-28 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition. 'Using R for Principles of Econometrics' requires no previous knowledge in econometrics or R programming, but elementary notions of statistics are helpful.

Download or read book Model Reduction Methods for Vector Autoregressive Processes written by Ralf Brüggemann and published by Springer Science & Business Media. This book was released on 2012-09-25 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Ever since his influential paper these models have been employed extensively to characterize the underlying dynamics in systems of time series. In particular, tools to summarize the dynamic interaction between the system variables, such as impulse response analysis or forecast error variance decompo sitions, have been developed over the years. The econometrics of VAR models and related quantities is now well established and has found its way into various textbooks including inter alia Llitkepohl (1991), Hamilton (1994), Enders (1995), Hendry (1995) and Greene (2002). The unrestricted VAR model provides a general and very flexible framework that proved to be useful to summarize the data characteristics of economic time series. Unfortunately, the flexibility of these models causes severe problems: In an unrestricted VAR model, each variable is expressed as a linear function of lagged values of itself and all other variables in the system.

Download or read book Likelihood Based Inference in Cointegrated Vector Autoregressive Models written by Soren Johansen and published by . This book was released on with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing Cointegrating Coefficients in Vector Autoregressive Error Correction Models written by Gerd Hansen and published by . This book was released on 1996 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Interpretation of Coefficients of the Vector Autoregressive Model written by Elcyon Caiado Rocha Lima and published by . This book was released on 2005 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model written by Søren Johansen and published by . This book was released on 2001 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Time Series Econometrics written by Klaus Neusser and published by Springer. This book was released on 2016-06-14 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students.