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Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model

Publikation: Working paperForskning

Standard

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

2008.

Publikation: Working paperForskning

Harvard

Møller, NF 2008 'Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model'.

APA

Møller, N. F. (2008). Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model.

Vancouver

Møller NF. Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model. 2008.

Author

Møller, Niels Framroze. / Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model. 2008.

Bibtex

@techreport{b8136690fdb511ddb219000ea68e967b,
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 implies the econometric concept of strong exogeneity for {\ss}. The economic equilibrium corresponds to the so-called long-run value (Johansen 2005), the comparative statics are captured by the long-run impact matrix, C; and the exogenous variables are the common trends. Also, the adjustment parameters of the CVAR are shown to be interpretable in terms of expectations formation, market clearing, nominal rigidities, etc. The general-partial equilibrium distinction is also discussed.",
author = "M{\o}ller, {Niels Framroze}",
note = "JEL Classification: C32",
year = "2008",
language = "English",
type = "WorkingPaper",

}

RIS

TY - UNPB

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 implies the econometric concept of strong exogeneity for ß. The economic equilibrium corresponds to the so-called long-run value (Johansen 2005), the comparative statics are captured by the long-run impact matrix, C; and the exogenous variables are the common trends. Also, the adjustment parameters of the CVAR are shown to be interpretable in terms of expectations formation, market clearing, nominal rigidities, etc. The general-partial equilibrium distinction is also discussed.

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 implies the econometric concept of strong exogeneity for ß. The economic equilibrium corresponds to the so-called long-run value (Johansen 2005), the comparative statics are captured by the long-run impact matrix, C; and the exogenous variables are the common trends. Also, the adjustment parameters of the CVAR are shown to be interpretable in terms of expectations formation, market clearing, nominal rigidities, etc. The general-partial equilibrium distinction is also discussed.

M3 - Working paper

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

ER -

ID: 10640750