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VAR Modelling and Haavelmo's Probability Approach to Macroeconomic Modelling

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Author Info

  • : Katarina Juselius

    (Institute of Economics, University of Copenhagen)

Abstract

Some recent developments in the macroeconometric analysis of time series are discussed in the light of Haavelmo (1944). Experimental design in econometrics is discussed and related to the case of passive observation. The general ideas are illustrated with an analysis of the long-run and short-run structure in Danish monetary data.

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Bibliographic Info

Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 93-05.

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Length: 26 pages
Date of creation: Apr 1993
Date of revision:
Publication status: Published in: Empirical Economics, 1993, 18(4) pp 595-622
Handle: RePEc:kud:kuiedp:9305

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Web page: http://www.econ.ku.dk
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Related research

Keywords: Haavelmo; macroeconometric time series modelling; multivariate cointegration; nonstationary time series;

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Cited by:
  1. Salvatore D'Acunto & Sergio Destefanis & Marco Musella, 2004. "Exports, Supply Constraints and Growth: An Investigation using Regional Data," International Review of Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 18(2), pages 167-189.
  2. Sunil Sharma & Neil R. Ericsson, 1998. "Broad money demand and financial liberalization in Greece," Empirical Economics, Springer, Springer, vol. 23(3), pages 417-436.
  3. Bruggeman, Annick & Donnay, Marie, 2003. "A monthly monetary model with banking intermediation for the euro area," Working Paper Series, European Central Bank 0264, European Central Bank.
  4. Norrbin, Stefan C. & Reffett, Kevin L., 1995. "I(2) representations of US money demand," Economics Letters, Elsevier, Elsevier, vol. 49(4), pages 415-423, October.
  5. John S. Irons & N.Ericsson, . "An early version of The Lucas Critique in Practice: Theory without Measurement," Home Pages, Massachussets Institute of Technology, Economics _004, Massachussets Institute of Technology, Economics.
  6. Neil R. Ericsson & John S. Irons, 1995. "The Lucas critique in practice: theory without measurement," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 506, Board of Governors of the Federal Reserve System (U.S.).
  7. Chiarini, Bruno & Piselli, Paolo, 2001. "Identification and dimension of the NAIRU," Economic Modelling, Elsevier, Elsevier, vol. 18(4), pages 585-611, December.
  8. Chiarini, Bruno & Piselli, Paolo, 2000. "Unemployment, Wage Pressure and Sectoral Shifts: Permanent and Temporary Consequences of Intersectoral Shocks," Journal of Policy Modeling, Elsevier, Elsevier, vol. 22(7), pages 777-799, December.
  9. Neil R. Ericsson, 1994. "Conditional and structural error correction models," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 487, Board of Governors of the Federal Reserve System (U.S.).

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