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

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

Standard

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

I: Econometrics, Bind 7, Nr. 1, 10.01.2019.

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

Harvard

Johansen, S 2019, 'Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models', Econometrics, bind 7, nr. 1. https://doi.org/10.3390/econometrics7010002

APA

Johansen, S. (2019). Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models. Econometrics, 7(1). https://doi.org/10.3390/econometrics7010002

Vancouver

Johansen S. Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models. Econometrics. 2019 jan. 10;7(1). https://doi.org/10.3390/econometrics7010002

Author

Johansen, Søren. / Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models. I: Econometrics. 2019 ; Bind 7, Nr. 1.

Bibtex

@article{265cdec753964879b7c76b0c63bedab6,
title = "Cointegration and Adjustment in the 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 for the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by two simple examples of relevance for modelling causal graphs.",
keywords = "Faculty of Social Sciences, adjustment coefficients, cointegrating coefficients, CVAR, causal models",
author = "S{\o}ren Johansen",
year = "2019",
month = jan,
day = "10",
doi = "10.3390/econometrics7010002",
language = "English",
volume = "7",
journal = "Econometrics",
issn = "2225-1146",
publisher = "MDPI AG",
number = "1",

}

RIS

TY - JOUR

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

AU - Johansen, Søren

PY - 2019/1/10

Y1 - 2019/1/10

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 for the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by two 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 for the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by two simple examples of relevance for modelling causal graphs.

KW - Faculty of Social Sciences

KW - adjustment coefficients

KW - cointegrating coefficients

KW - CVAR

KW - causal models

U2 - 10.3390/econometrics7010002

DO - 10.3390/econometrics7010002

M3 - Journal article

VL - 7

JO - Econometrics

JF - Econometrics

SN - 2225-1146

IS - 1

ER -

ID: 214128827