Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
Publikation: Working paper › Forskning
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Allowing the Data to Speak Freely : The Macroeconometrics of the Cointegrated Vector Autoregression. / Hoover, Kevin D.; Juselius, Katarina; Johansen, Søren.
Department of Economics, University of Copenhagen, 2007.Publikation: Working paper › Forskning
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TY - UNPB
T1 - Allowing the Data to Speak Freely
T2 - The Macroeconometrics of the Cointegrated Vector Autoregression
AU - Hoover, Kevin D.
AU - Juselius, Katarina
AU - Johansen, Søren
N1 - JEL Classification: B41, C32, C51
PY - 2007
Y1 - 2007
N2 - An explication of the key ideas behind the Cointegrated Vector Autoregression Approach. The CVAR approach is related to Haavelmo's famous "Probability Approach in Econometrics" (1944). It insists on careful stochastic specification as a necessary groundwork for econometric inference and the testing of economic theories. In time-series data, the probability approach requires careful specification of the integration and cointegration properties of variables in systems of equations. The relationship between the CVAR approach and wider methodological issues and between it and related approaches (e.g., the LSE approach) are explored. The specific-to-general strategy of widening the scope of econometric models to identify stochastic trends and cointegrating relations and to nest theoretical economic models is illustrated with the example of purchasing-power parity
AB - An explication of the key ideas behind the Cointegrated Vector Autoregression Approach. The CVAR approach is related to Haavelmo's famous "Probability Approach in Econometrics" (1944). It insists on careful stochastic specification as a necessary groundwork for econometric inference and the testing of economic theories. In time-series data, the probability approach requires careful specification of the integration and cointegration properties of variables in systems of equations. The relationship between the CVAR approach and wider methodological issues and between it and related approaches (e.g., the LSE approach) are explored. The specific-to-general strategy of widening the scope of econometric models to identify stochastic trends and cointegrating relations and to nest theoretical economic models is illustrated with the example of purchasing-power parity
KW - Faculty of Social Sciences
KW - cointegrated VAR
KW - stochastic trends
KW - PPP
M3 - Working paper
BT - Allowing the Data to Speak Freely
PB - Department of Economics, University of Copenhagen
ER -
ID: 1947778