Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model

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Standard

Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model. / Møller, Niels Framroze.

I: Economics, Bind 2, Nr. 2008-36, 2008, s. 1-29.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Møller, NF 2008, 'Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model', Economics, bind 2, nr. 2008-36, s. 1-29. <http://www.economics-ejournal.org/economics/journalarticles/2008-36>

APA

Møller, N. F. (2008). Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model. Economics, 2(2008-36), 1-29. http://www.economics-ejournal.org/economics/journalarticles/2008-36

Vancouver

Møller NF. Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model. Economics. 2008;2(2008-36):1-29.

Author

Møller, Niels Framroze. / Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model. I: Economics. 2008 ; Bind 2, Nr. 2008-36. s. 1-29.

Bibtex

@article{b72bb090fdb311ddb219000ea68e967b,
title = "Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model",
abstract = "Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity in the economic model is related to econometric concepts of exogeneity. The economic equilibrium corresponds to the so-called long-run value (Johansen 2005), the long-run impact matrix, C; captures the comparative statics and the exogenous variables are the common trends. The adjustment parameters of the CVAR are related to expectations formation, market clearing, nominal rigidities, etc. Finally, the general-partial equilibrium distinction is analyzed.",
author = "M{\o}ller, {Niels Framroze}",
note = "JEL Classification: C32",
year = "2008",
language = "English",
volume = "2",
pages = "1--29",
journal = "Economics",
issn = "1864-6042",
publisher = "Economics",
number = "2008-36",

}

RIS

TY - JOUR

T1 - Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model

AU - Møller, Niels Framroze

N1 - JEL Classification: C32

PY - 2008

Y1 - 2008

N2 - Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity in the economic model is related to econometric concepts of exogeneity. The economic equilibrium corresponds to the so-called long-run value (Johansen 2005), the long-run impact matrix, C; captures the comparative statics and the exogenous variables are the common trends. The adjustment parameters of the CVAR are related to expectations formation, market clearing, nominal rigidities, etc. Finally, the general-partial equilibrium distinction is analyzed.

AB - Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity in the economic model is related to econometric concepts of exogeneity. The economic equilibrium corresponds to the so-called long-run value (Johansen 2005), the long-run impact matrix, C; captures the comparative statics and the exogenous variables are the common trends. The adjustment parameters of the CVAR are related to expectations formation, market clearing, nominal rigidities, etc. Finally, the general-partial equilibrium distinction is analyzed.

M3 - Journal article

VL - 2

SP - 1

EP - 29

JO - Economics

JF - Economics

SN - 1864-6042

IS - 2008-36

ER -

ID: 10640620