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Abstract

Applied cointegration analysis has much to gain from strong links with economic theory. For example, the current generation of equilibrium macroeconomic models have simple predictions for cointegrating vectors. These models also suggest that important information about the economic structure can be found in the short-run dynamics, which most cointegration studies disregard. Simulations of a stochastic business cycle model show that tests of cointegrating vectors, forecasts, and variance decompositions based on long-run assumptions can be sharpened by imposing even very simple economic restrictions.

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Bibliographic Info

Paper provided by Stockholm - International Economic Studies in its series Papers with number 584.

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Length: 24 pages
Date of creation: 1994
Date of revision:
Handle: RePEc:fth:stocin:584

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Postal: UNIVERSITY OF STOCKHOLM, INSTITUTE FOR INTERNATIONAL ECONOMIC STUDIES, S- 106 91 STOCKHOLM SWEDEN.
Phone: +46-8-162000
Fax: +46-8-161443
Web page: http://www.iies.su.se/
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Related research

Keywords: BUSINESS CYCLES; STOCHASTIC MODELS;

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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
• E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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