Models and relations in economics and econometrics
AbstractBased on a money market analysis using the cointegrated VAR model the paper demonstrates some possible pitfalls in macroeconomic inference as a direct consequence of inadequate stochastic model formulation. A number of questions related to concepts such as empirical and theoretical steady-states, speed of adjustment, feedback and interaction effects, and driving forces are addressed within the framework of the cointegrated VAR model. The interpretation and analysis of common driving trends are related to the notion of shocks or disturbances to a system, distinguishing between permanent and transitory, and anticipated and unanticipated effects.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Journal of Economic Methodology.
Volume (Year): 6 (1999)
Issue (Month): 2 ()
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- Katarina Juselius, 1999. "Models and Relations in Economics and Econometrics," Discussion Papers 99-13, University of Copenhagen. Department of Economics.
- B4 - Schools of Economic Thought and Methodology - - Economic Methodology
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
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- Cushman, David O., 2008. "Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 413-424, December.
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