Based on a money market analysis the paper discusses possible pitfalls in acroeconomic inference related to inadequate stochastic model formulation. A number of questions related to concepts such as empirical and theoretical steady-states, speed of adjustment, feed-back and interaction effects, and driving forces are addressed within the framework of the cointegrated VAR model. The economic notion of anticipated and unanticipated shocks to a system is discussed from an econometric point of view.
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Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number
99-13.
Length: 32 pages Date of creation: Apr 1999 Date of revision: Handle: RePEc:kud:kuiedp:9913
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Find related papers by JEL classification: B4 - Schools of Economic Thought and Methodology - - Economic Methodology C5 - Mathematical and Quantitative Methods - - Econometric Modeling E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
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