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Recent Developments in Modelling Nonstationary Vector Autoregressions

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  • Mills, Terence C

Abstract

In this paper we review some recent developments in the modelling of nonstationary vector autoregressions (VARs) which we feel have great potential for furthering applied researchers understanding of the relationships linking the variables making up a VAR. The developments surveyed are the use of model determination criteria in selecting lag length, trend order and cointegrating rank, causality testing in vector error correction models, FM-VAR estimation of levels VAR, common trends and cycles analysis, permanent and transitory decompositions, impulse response asymptotics, and the links between cointegrated VARs and structural models. The techniques are illustrated by applications to the modelling of U.K. equities, dividends and interest rates. Copyright 1998 by Blackwell Publishers Ltd

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  • Mills, Terence C, 1998. " Recent Developments in Modelling Nonstationary Vector Autoregressions," Journal of Economic Surveys, Wiley Blackwell, vol. 12(3), pages 279-312, July.
  • Handle: RePEc:bla:jecsur:v:12:y:1998:i:3:p:279-312
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    Cited by:

    1. Haug, Alfred A. & Karagedikli, Ozer & Ranchhod, Satish, 2005. "Monetary policy transmission mechanisms and currency unions: A vector error correction approach to a Trans-Tasman currency union," Journal of Policy Modeling, Elsevier, vol. 27(1), pages 55-74, February.
    2. Rosemary Rossiter, 2002. "Structural Cointegration Analysis of Private and Public Investment," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 1(1), pages 59-68, April.

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