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Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model

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  • Søren Johansen

Abstract

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. Copyright 2005 Blackwell Publishing Ltd.

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Bibliographic Info

Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 67 (2005)
Issue (Month): 1 (02)
Pages: 93-104

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Handle: RePEc:bla:obuest:v:67:y:2005:i:1:p:93-104

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Cited by:
  1. Matthieu Bussière & Alexander Chudik & Giulia Sestieri, 2012. "Modelling global trade flows: results from a GVAR model," Globalization and Monetary Policy Institute Working Paper 119, Federal Reserve Bank of Dallas.
  2. repec:hal:wpaper:hal-00750495 is not listed on IDEAS
  3. Juan José Echavarría & Enrique López & Sergio Ocampo & Norberto Rodríguez, 2011. "Choques, instituciones laborales y desempleo en Colombia," Borradores de Economia 682, Banco de la Republica de Colombia.
  4. Fanelli, Luca & Paruolo, Paolo, 2010. "Speed of adjustment in cointegrated systems," Journal of Econometrics, Elsevier, vol. 158(1), pages 130-141, September.
  5. repec:hal:cesptp:hal-00750495 is not listed on IDEAS
  6. Çetin, Tamer & Yasin Eryigit, Kadir, 2013. "The economic effects of government regulation: Evidence from the New York taxicab market," Transport Policy, Elsevier, vol. 25(C), pages 169-177.
  7. Møller, Niels Framroze, 2008. "Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model," Economics Discussion Papers 2008-21, Kiel Institute for the World Economy.
  8. H. Peter Boswijk & Jurgen A. Doornik, 2004. "Identifying, estimating and testing restricted cointegrated systems: An overview," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 440-465.
  9. Fabrizio Coricelli & Boštjan Jazbec & Igor Masten, 2004. "Exchange Rate Policy and Inflation in Acceding Countries: The Role of Pass-through," William Davidson Institute Working Papers Series 2004-674, William Davidson Institute at the University of Michigan.
  10. Christian Rojas & Alexandra Andino & Wayne D. Purcell, 2008. "Retailers' response to wholesale price changes: new evidence from scanner-based quantity-weighted beef prices," Agribusiness, John Wiley & Sons, Ltd., vol. 24(1), pages 1-15.
  11. Chatelain, Jean-Bernard, 2010. "Can statistics do without artefacts?," MPRA Paper 42867, University Library of Munich, Germany.
  12. Paruolo Paolo, 2004. "The likelihood ratio test for the rank of a cointegration submatrix," Economics and Quantitative Methods qf04024, Department of Economics, University of Insubria.
  13. Çetin, Tamer & Yasin Eryigit, Kadir, 2011. "Estimating the effects of entry regulation in the Istanbul taxicab market," Transportation Research Part A: Policy and Practice, Elsevier, vol. 45(6), pages 476-484, July.
  14. Samake, Issouf & Yang, Yongzheng, 2014. "Low-income countries’ linkages to BRICS: Are there growth spillovers?," Journal of Asian Economics, Elsevier, vol. 30(C), pages 1-14.
  15. Juselius, Mikael, 2008. "Long-run relationships between labor and capital: Indirect evidence on the elasticity of substitution," Journal of Macroeconomics, Elsevier, vol. 30(2), pages 739-756, June.

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