The Cointegrated VAR Model: Methodology and Applications

Paperback | December 15, 2006

byKatarina Juselius

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This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number ofinsights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations ofapplicability.This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that goodeconometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure fullunderstanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.

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This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number ofinsights into the links between statistical ec...

Katarina Juselius obtained her Ph.D from the Swedish School of Economics, Helsinki in 1983. In 1985 she became Associate Professor at the University of Copenhagen and in 1996 she was appointed the Chair of Macroeconometrics. She has published extensively on the methodology of Cointegrated VAR Models with applications to Monetary Trans...
Format:PaperbackDimensions:480 pages, 9.69 × 6.73 × 0.98 inPublished:December 15, 2006Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199285675

ISBN - 13:9780199285679

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Table of Contents

Bridging economics and econometrics1. Introduction2. Models and Relations in Economics and Econometrics3. The Probability Approach in Econometrics and the VARSpecifying the VAR Model4. The Unrestricted VAR5. The Cointegrated VAR Model6. Deterministic Components in the I(1) Model7. Estimation in the I(1) Model8. Determination of Cointegration RankTesting Hypotheses on cointegration9. Recursive Tests of Constancy10. Testing Restrictions on Beta11. Testing Restrictions on AlphaIdentification12. Identification of the Long-Run Structure13. Identification of the Short-Run Structure14. Identification of Common Trends15. Identification of a Structural MA ModelThe I(2) Model16. Analyzing I(2) Data with the I(1) Model17. The I(2) Model: specification and estimation18. Testing Hypotheses in the I(2) ModelA Methodological Approach19. Specific-to-General and General-to-Specific20. Wage, Price, and Unemployment Dynamics21. Foreign Transmission Effects: Denmark versus Germany22. Collecting the ThreadsAppendix A: The Asymptotic Tables for Cointegration Rank