VAR Modelling and Haavelmo's Probability Approach to Macroeconomic Modelling
AbstractSome 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 InfoPaper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 93-05.
Length: 26 pages
Date of creation: Apr 1993
Date of revision:
Publication status: Published in: Empirical Economics, 1993, 18(4) pp 595-622
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Web page: http://www.econ.ku.dk
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Haavelmo; macroeconometric time series modelling; multivariate cointegration; nonstationary time series;
Other versions of this item:
- Juselius, Katarina, 1993. "VAR Modelling and Haavelmo's Probability Approach to Macroeconomic Modelling," Empirical Economics, Springer, vol. 18(4), pages 595-622.
- B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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