Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models

Publikation: Working paper › Forskning

Standard

Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models. / Johansen, Søren.

2018.

Publikation: Working paper › Forskning

Harvard

Johansen, S 2018 'Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models'. https://doi.org/10.2139/ssrn.3180010

APA

Johansen, S. (2018). Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models. University of Copenhagen. Institute of Economics. Discussion Papers (Online) Nr. 18-05 https://doi.org/10.2139/ssrn.3180010

Vancouver

Johansen S. Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models. 2018 maj 29. https://doi.org/10.2139/ssrn.3180010

Author

Johansen, Søren. / Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models. 2018. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 18-05).

Bibtex

@techreport{1e584806bd3b441a904137bc79440c0e,
title = "Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models",
abstract = "A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity of the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by a few simple examples of relevance for modelling causal graphs.",
keywords = "Adjustment coefficients, cointegrating coefficients, CVAR, causal models",
author = "S{\o}ren Johansen",
year = "2018",
month = may,
day = "29",
doi = "10.2139/ssrn.3180010",
language = "English",
series = "University of Copenhagen. Institute of Economics. Discussion Papers (Online)",
number = "18-05",
type = "WorkingPaper",

}

RIS

TY - UNPB

T1 - Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models

AU - Johansen, Søren

PY - 2018/5/29

Y1 - 2018/5/29

N2 - A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity of the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by a few simple examples of relevance for modelling causal graphs.

AB - A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity of the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by a few simple examples of relevance for modelling causal graphs.

KW - Adjustment coefficients

KW - cointegrating coefficients

KW - CVAR

KW - causal models

U2 - 10.2139/ssrn.3180010

DO - 10.2139/ssrn.3180010

M3 - Working paper

T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)

BT - Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models

ER -

ID: 248645461