TY - BOOK

T1 - Recent Developments in Cointegration

A2 - Juselius, Katarina

PY - 2018/6

Y1 - 2018/6

N2 - The Cointegrated VAR model allows the user to study both long-run and shortruneffects in the same model. It describes an economic system where variableshave been pushed away from long-run equilibria by exogenous shocks (thepushing forces) and where short-run adjustments forces pull them backtoward long-run equilibria (the pulling forces). In this model framework, basicassumptions underlying an economic theory model can be translated intotestable hypotheses of the order of integration and cointegration of key variablesand their relationships. While the latter used to be I(1), macroeconomic andfinancial data have recently shown a tendency for puzzling long and persistentswings around long-run equilibrium values typical of self-reinforcing feed-backmechanisms. Such persistent fluctuations are frequently indistinguishable fromI(2) data, pointing to the need for new econometric solutions. In this book, manyof our most distinguished scholars in the field of cointegration offer a variety ofsolutions to these problems by formulating new models, tests, and asymptoticsmore suitable for an I(2) world. Several of the papers apply these cointegrationtechniques to a variety of empirical problems, thereby showing how to obtainvaluable information about some of the mechanisms that have generated therecent crises.

AB - The Cointegrated VAR model allows the user to study both long-run and shortruneffects in the same model. It describes an economic system where variableshave been pushed away from long-run equilibria by exogenous shocks (thepushing forces) and where short-run adjustments forces pull them backtoward long-run equilibria (the pulling forces). In this model framework, basicassumptions underlying an economic theory model can be translated intotestable hypotheses of the order of integration and cointegration of key variablesand their relationships. While the latter used to be I(1), macroeconomic andfinancial data have recently shown a tendency for puzzling long and persistentswings around long-run equilibrium values typical of self-reinforcing feed-backmechanisms. Such persistent fluctuations are frequently indistinguishable fromI(2) data, pointing to the need for new econometric solutions. In this book, manyof our most distinguished scholars in the field of cointegration offer a variety ofsolutions to these problems by formulating new models, tests, and asymptoticsmore suitable for an I(2) world. Several of the papers apply these cointegrationtechniques to a variety of empirical problems, thereby showing how to obtainvaluable information about some of the mechanisms that have generated therecent crises.

U2 - 10.3390/books978-3-03842-956-2

DO - 10.3390/books978-3-03842-956-2

M3 - Book

SN - 978-3-03842-955-5

BT - Recent Developments in Cointegration

PB - MDPI

CY - Basel, Switzerland

ER -