Haavelmo's Probability Approach and the Cointegrated VAR
Some key econometric concepts and problems addressed by Trygve Haavelmo and Ragnar Frisch are discussed within the general framework of a cointegrated VAR. The focus is on problems typical of time series data such as multicollinearity, spurious correlation and regression results, time dependent residuals, normalization, reduced rank, model selection, missing variables, simultaneity, autonomy and identification. Specifically the paper discusses (1) the conditions under which the VAR model represents a full probability formulation of a sample of time-series observations, (2) the plausibility of the multivariate normality assumption underlying the VAR, (3) cointegration as a solution to the problem of spurious correlation and multicollinearity when data contain deterministic and stochastic trends, (4) the existence of a universe, (5) the association between Frisch's confluence analysis and cointegrated VAR analysis, (6) simultaneity and identification when data are nonstationary, (7) conditions under which identified cointegration relations can be considered structural or autonomous, and finally (8) a formulation of a design of experiment for passive observations based on theory consistent CVAR scenarios illustrated with a monetary model for inflation.
|Date of creation:||01 Mar 2012|
|Date of revision:|
|Contact details of provider:|| Postal: Øster Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark|
Phone: (+45) 35 32 30 10
Fax: +45 35 32 30 00
Web page: http://www.econ.ku.dk
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Peter C.B. Phillips, 1985.
"Understanding Spurious Regressions in Econometrics,"
Cowles Foundation Discussion Papers
757, Cowles Foundation for Research in Economics, Yale University.
- Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
- Kongsted, Hans Christian, 2005. "Testing the nominal-to-real transformation," Journal of Econometrics, Elsevier, vol. 124(2), pages 205-225, February.
- Søren Johansen & Katarina Juselius, 1992.
"Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model,"
92-04, University of Copenhagen. Department of Economics.
- Johansen, Soren & Juselius, Katarina, 1994. "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July.
- Franchi, Massimo & Jusélius, Katarina, 2007.
"Taking a DSGE Model to the Data Meaningfully,"
Economics Discussion Papers
2007-6, Kiel Institute for the World Economy (IfW).
- Franchi, Massimo & Jusélius, Katarina, 2007. "Taking a DSGE Model to the Data Meaningfully," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 1, pages 1-38.
- Davidson, James, 1998. "Structural relations, cointegration and identification: some simple results and their application," Journal of Econometrics, Elsevier, vol. 87(1), pages 87-113, August.
- Johansen, Soren, 1995. "Identifying restrictions of linear equations with applications to simultaneous equations and cointegration," Journal of Econometrics, Elsevier, vol. 69(1), pages 111-132, September.
- Juselius, Katarina, 2006. "The Cointegrated VAR Model: Methodology and Applications," OUP Catalogue, Oxford University Press, number 9780199285679, June.
- Garrone Giovanna & Marchionatti Roberto & Bellofiore Riccardo, 2004. "Keynes on econometric method. A reassessment of his debate with Tinbergen and econometricians, 1938-1943," CESMEP Working Papers 200401, University of Turin.
When requesting a correction, please mention this item's handle: RePEc:kud:kuiedp:1201. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Hoffmann)
If references are entirely missing, you can add them using this form.