Applied Cointegration Analysis in the Mirror of Macroeconomic Theory
AbstractApplied cointegration analysis has much to gain from strong links with economic theory. For example, the current generation of equilibrium macroeconomic models have simple predi tions 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 InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 30.
Length: 25 pages
Date of creation: Nov 1994
Date of revision:
Publication status: Published in Journal of Applied Econometrics, 1996, pages 363-381
Contact details of provider:
Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
Phone: +46-(0)8-736 90 00
Fax: +46-(0)8-31 01 57
Web page: http://www.hhs.se/
More information through EDIRC
Cointegration; money demand; stochastic growth model;
Other versions of this item:
- Soderlind, Paul & Vredin, Anders, 1996. "Applied Cointegration Analysis in the Mirror of Macroeconomic Theory," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 363-81, July-Aug..
- Söderlind, Paul & Vredin, Anders, 1995. "Applied Cointegration Analysis in the Mirror of Macroeconomic Theory," CEPR Discussion Papers 1120, C.E.P.R. Discussion Papers.
- Soderlind, P. & Vredin, A., 1994. "Applied Conintegration Analysis in the Mirror of Macroeconomic Theory," Papers 584, Stockholm - International Economic Studies.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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