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Applied Conintegration Analysis in the Mirror of Macroeconomic Theory

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  • Soderlind, P.
  • Vredin, A.

Abstract

Applied cointegration analysis has much to gain from strong links with economic theory. For example, the current generation of equilibrium macroeconomic models have simple predictions for cointegrating vectors. These models also suggest that important information about the economic structure can be found in the short-run dynamics, which most cointegration studies disregard. Simulations of a stochastic business cycle model show that tests of cointegrating vectors, forecasts, and variance decompositions based on long-run assumptions can be sharpened by imposing even very simple economic restrictions.
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Suggested Citation

  • Soderlind, P. & Vredin, A., 1994. "Applied Conintegration Analysis in the Mirror of Macroeconomic Theory," Papers 584, Stockholm - International Economic Studies.
    • Handle: RePEc:fth:stocin:584
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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