Recent Advances in Cointegration Analysis
AbstractA small system of German economic variables consisting of the money stock M3, Gross National Product (GNP) and a bond rate is used to illustrate the power of cointegration analysis and the usefulness of some recently developed tools for this kind of analysis. Testing for the cointegrating rank and specifying a VECM, estimating the cointegrating relations and other parameters as well as model checking are discussed. The estimated model is analyzed with an impulse response analysis and a forecast error variance decomposition is performed. A quite reasonable long-run money demand relation is found.
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Bibliographic InfoPaper provided by European University Institute in its series Economics Working Papers with number ECO2004/12.
Date of creation: 2004
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cointegration; German monetary system; vector error correction model;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-04-11 (All new papers)
- NEP-ECM-2004-04-11 (Econometrics)
- NEP-ETS-2004-04-11 (Econometric Time Series)
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