Models and Relations in Economics and Econometrics
AbstractBased 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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Bibliographic InfoPaper 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:
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I(2); price homogeneity; money market; cointegrated VAR;
Other versions of this item:
- Katarina Juselius, 1999. "Models and relations in economics and econometrics," Journal of Economic Methodology, Taylor and Francis Journals, vol. 6(2), pages 259-290.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-03-04 (All new papers)
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- Gilberto A. Libanio, 2004.
"Unit roots in macroeconomic time series: theory, implications, and evidence,"
Textos para DiscussÃ£o Cedeplar-UFMG
td228, Cedeplar, Universidade Federal de Minas Gerais.
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- Gilberto A. Libanio, 2004. "Unit roots in macroeconomic time series: a post Keynesian interpretation," Textos para DiscussÃ£o Cedeplar-UFMG td233, Cedeplar, Universidade Federal de Minas Gerais.
- Peter Rowland & Hugo Oliveros, 2003. "Colombian Purchasing Power Parity Analysed Using A Framework of Multivariate Cointegration," BORRADORES DE ECONOMIA 002150, BANCO DE LA REPÚBLICA.
- Juselius, Katarina & Toro, Juan, 2005. "Monetary transmission mechanisms in Spain: The effect of monetization, financial deregulation, and the EMS," Journal of International Money and Finance, Elsevier, vol. 24(3), pages 509-531, April.
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- Cushman, David O., 2007. "A portfolio balance approach to the Canadian-U.S. exchange rate," Review of Financial Economics, Elsevier, vol. 16(3), pages 305-320.
- Christer Ljungwall, 2006. "Export-led Growth: Application to China's Provinces, 1978-2001," Journal of Chinese Economic and Business Studies, Taylor and Francis Journals, vol. 4(2), pages 109-126.
- Cushman, David O., 2008. "Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 413-424, December.
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