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Table Of Contents

1.2 On the choice of economic models
1.3. THEORETICAL, TRUE AND OBSERVABLE VARIABLES 5
1.4. TESTING A THEORY AS OPPOSED TO A HYPOTHESIS 7
1.5. EXPERIMENTAL DESIGN IN MACROECONOMICS 9
1.6. ON THE CHOICE OF EMPIRICAL EXAMPLE 11
2.1 The VAR approach and theory based mod- els
2.2. INFLATION AND MONEY GROWTH 15
2.2. INFLATION AND MONEY GROWTH 17
2.3. THE TIME DEPENDENCE OF MACROECONOMIC DATA 19
2.3. THE TIME DEPENDENCE OF MACROECONOMIC DATA 21
2.4. A STOCHASTIC FORMULATION 23
2.4. A STOCHASTIC FORMULATION 25
2.4. A STOCHASTIC FORMULATION 27
2.5. THE I(2) SCENARIO 29
2.5. THE I(2) SCENARIO 31
2.5. THE I(2) SCENARIO 33
2.6 Scenario Analyses: treating prices as I(1)
2.7. CONCLUDING REMARKS 35
3.1. A SINGLE TIME SERIES PROCESS 39
3.2. A VECTOR PROCESS 41
3.2. A VECTOR PROCESS 43
3.2. A VECTOR PROCESS 45
3.4. DERIVING THE VAR 49
3.5. INTERPRETING THE VAR MODEL 51
3.6. THE DYNAMIC PROPERTIES OF THE VAR PROCESS 53
3.7 Concluding remarks
4.1. LIKELIHOODBASEDESTIMATIONINTHEUNRESTRICTEDVAR61
4.1. LIKELIHOODBASEDESTIMATIONINTHEUNRESTRICTEDVAR63
4.2. THREE DIFFERENT ECM-REPRESENTATIONS 65
4.2. THREE DIFFERENT ECM-REPRESENTATIONS 67
4.2. THREE DIFFERENT ECM-REPRESENTATIONS 69
4.2. THREE DIFFERENT ECM-REPRESENTATIONS 71
4.3. MISSPECIFICATION TESTS 73
4.3. MISSPECIFICATION TESTS 75
4.3. MISSPECIFICATION TESTS 77
4.3. MISSPECIFICATION TESTS 79
4.3. MISSPECIFICATION TESTS 81
4.4. CONCLUDING REMARKS 83
5.1 Defining integration and cointegration
5.2. AN INTUITIVE INTERPRETATION OF Π= αβ0 87
5.2. AN INTUITIVE INTERPRETATION OF Π= αβ0 89
5.3. COMMON TRENDS 91
5.4. FROM AR TO MA 93
5.4. FROM AR TO MA 95
5.5. PULLING AND PUSHING FORCES 97
5.6 Concluding discussion
6.1. A DYNAMIC REGRESSION MODEL 101
6.2. A TREND AND A CONSTANT IN THE VAR 103
6.2. A TREND AND A CONSTANT IN THE VAR 105
6.3 Five cases
6.4. THE MA REPRESENTATION 107
6.5. DUMMY VARIABLES IN A SIMPLE REGRESSION MODEL 109
6.6. DUMMY VARIABLES AND THE VAR 111
6.6. DUMMY VARIABLES AND THE VAR 113
6.7. AN ILLUSTRATIVE EXAMPLE 115
6.7. AN ILLUSTRATIVE EXAMPLE 117
6.8 Conclusions
7.2. DERIVATION OF THE ML ESTIMATOR 123
7.3. NORMALIZATION 125
7.4 The uniqueness of the unrestricted esti- mates
7.5. AN ILLUSTRATION 127
7.5. AN ILLUSTRATION 129
7.5. AN ILLUSTRATION 131
7.5. AN ILLUSTRATION 133
7.5. AN ILLUSTRATION 135
8.1. THE TRACE TEST 141
8.2. THE ASYMPTOTIC TABLES 143
8.2. THE ASYMPTOTIC TABLES 145
8.2. THE ASYMPTOTIC TABLES 147
8.2. THE ASYMPTOTIC TABLES 149
8.3. CHOOSING THE RANK 151
8.4. AN ILLUSTRATION 153
8.5. RECURSIVE TESTS OF CONSTANCY 155
8.5. RECURSIVE TESTS OF CONSTANCY 157
8.5. RECURSIVE TESTS OF CONSTANCY 159
8.5. RECURSIVE TESTS OF CONSTANCY 161
8.5. RECURSIVE TESTS OF CONSTANCY 163
9.1. FORMULATING HYPOTHESES 167
9.2. SAME RESTRICTION 169
9.2. SAME RESTRICTION 171
9.2. SAME RESTRICTION 173
9.2. SAME RESTRICTION 175
9.3. SOME β ASSUMED KNOWN 177
9.3. SOME β ASSUMED KNOWN 179
9.4. SOME COEFFICIENTS KNOWN 181
9.4. SOME COEFFICIENTS KNOWN 183
9.4. SOME COEFFICIENTS KNOWN 185
9.5. LONG-RUN WEAK EXOGENEITY 187
9.5. LONG-RUN WEAK EXOGENEITY 189
9.5. LONG-RUN WEAK EXOGENEITY 191
9.6. REVISITING THE SCENARIO ANALYSIS 193
9.6. REVISITING THE SCENARIO ANALYSIS 195
10.1 Identification when data are nonstation- ary
10.2. IDENTIFYING RESTRICTIONS 197
10.2. IDENTIFYING RESTRICTIONS 199
10.2. IDENTIFYING RESTRICTIONS 201
10.3. FORMULATING IDENTIFYING HYPOTHESES 203
10.3. FORMULATING IDENTIFYING HYPOTHESES 205
10.4. JUST-IDENTIFYING RESTRICTIONS 207
10.5. OVER-IDENTIFYING RESTRICTIONS 209
10.6. LACK OF IDENTIFICATION 211
10.7. RECURSIVE TESTS OF α AND β 213
10.7. RECURSIVE TESTS OF α AND β 215
10.8. CONCLUDING DISCUSSIONS 217
11.1. FORMULATING IDENTIFYING RESTRICTIONS 221
11.2 Interpreting shocks
11.3. WHICH ECONOMIC QUESTIONS? 223
11.3. WHICH ECONOMIC QUESTIONS? 225
11.3. WHICH ECONOMIC QUESTIONS? 227
11.4. REDUCED FORM RESTRICTIONS 229
11.5. THE VAR IN TRIANGULAR FORM 231
11.5. THE VAR IN TRIANGULAR FORM 233
11.6. GENERAL RESTRICTIONS 235
11.6. GENERAL RESTRICTIONS 237
11.6. GENERAL RESTRICTIONS 239
11.7 A partial system
11.8. ECONOMIC IDENTIFICATION 241
11.8. ECONOMIC IDENTIFICATION 243
12.1 The common trends representation
12.2. SOME SPECIAL CASES 247
12.3. ILLUSTRATIONS 249
12.3. ILLUSTRATIONS 251
12.3. ILLUSTRATIONS 253
12.4. ECONOMIC IDENTIFICATION 255
12.4. ECONOMIC IDENTIFICATION 257
13.1. TRANSITORY AND PERMANENT SHOCKS 261
13.1. TRANSITORY AND PERMANENT SHOCKS 263
14.1. STOCHASTICANDDETERMINISTICCOMPONENTSINNOMINALMODELS267
14.2. ESTIMATING AN I(1) MODEL WITH I(2) DATA 269
14.3. AN INTUITIVE APPROACH 271
14.3. AN INTUITIVE APPROACH 273
14.4. TRANSFORMING I(2) DATA TO I(1) 275
14.5 Concluding remarks
15 The I(2) Model 277
16 On the Econometric Approach 295
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VAR VEC Juselius Johansen

VAR VEC Juselius Johansen

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Published by: Dragomir Ioana on Nov 21, 2011
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