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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)

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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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Publisher 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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Find related papers by JEL classification:
B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Quantitative and Mathematical
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

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  1. Neil R. Ericsson & John S. Irons, 1995. "The Lucas critique in practice: theory without measurement," International Finance Discussion Papers 506, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  2. Salvatore D'acunto & Sergio Destefanis & Marco Musella, 2004. "Exports, Supply Constraints and Growth: An Investigation using Regional Data," International Review of Applied Economics, Taylor and Francis Journals, vol. 18(2), pages 167-189, April. [Downloadable!] (restricted)
  3. Gordon de Brouwer & Neil R Ericsson, 1995. "Modelling Inflation in Australia," RBA Research Discussion Papers rdp9510, Reserve Bank of Australia. [Downloadable!]
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  4. John S. Irons & N.Ericsson, . "An early version of The Lucas Critique in Practice: Theory without Measurement," Home Pages _004, Massachussets Institute of Technology, Economics. [Downloadable!]
  5. Annick Bruggeman & Marie Donnay, 2003. "A monthly monetary model with banking intermediation for the euro area," Working Paper Series 264, European Central Bank. [Downloadable!]
  6. Neil R. Ericsson & Sunil Sharma, 1996. "Broad money demand and financial liberalization in Greece," International Finance Discussion Papers 559, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  7. Neil R. Ericsson, 1994. "Conditional and structural error correction models," International Finance Discussion Papers 487, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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