IDEAS home Printed from https://ideas.repec.org/a/bla/obuest/v88y2026i4p814-833.html

Towards Empirical Assessments of Controlled Cointegrated Models

Author

Listed:
  • Guillaume Chevillon
  • Takamitsu Kurita

Abstract

This paper explores control theory and stabilisation policy within the framework of a cointegrated vector autoregressive (VAR) model from the perspective of an econometrician concerned with inference and identification. We demonstrate that a new process derived from control theory should be treated as a series of observables rather than as a latent series. This process can be viewed as being driven by a vector autoregressive moving‐average (VARMA) model, which can, in turn, be interpreted within the framework of structural vector equilibrium correction. We also introduce a data‐driven procedure for classifying intermediate and final policy targets within the model. The practicality and effectiveness of this procedure are demonstrated through a counterfactual policy analysis based on observations of the new process simulated from actual New Zealand monetary policy data.

Suggested Citation

  • Guillaume Chevillon & Takamitsu Kurita, 2026. "Towards Empirical Assessments of Controlled Cointegrated Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 88(4), pages 814-833, August.
    • Handle: RePEc:bla:obuest:v:88:y:2026:i:4:p:814-833
    DOI: 10.1111/obes.70091
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/obes.70091
    Download Restriction: no
    File URL: https://libkey.io/10.1111/obes.70091?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:88:y:2026:i:4:p:814-833. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfeixuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.