Change search
ReferencesLink to record
Permanent link

Direct link
Applied Cointegration Analysis in the Mirror of Macroeconomic Theory
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
Stockholm School of Economics.
1994 (English)Report (Other academic)
Abstract [en]

Applied cointegration analysis has much to gain from strong links with economic theory. For example, the current generation of equilibrium macroeconomic models have simple predictions for cointegrating vectors. These models also suggest that important information about the economic structure can be found in the short run dynamics, which most cointegration studies disregard. Simulations of a stochastic business cycle model show that tests of cointegrating vectors, forecasts, and variance decompositions based on long run assumptions can be sharpened by imposing even very simple economic restrictions.

Place, publisher, year, edition, pages
Stockholm: IIES , 1994. , 27 p.
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 584
National Category
URN: urn:nbn:se:su:diva-41909OAI: diva2:342919
Available from: 2010-08-11 Created: 2010-08-11 Last updated: 2010-08-11Bibliographically approved

Open Access in DiVA

fulltext(3852 kB)98 downloads
File information
File name FULLTEXT01.pdfFile size 3852 kBChecksum SHA-512
Type fulltextMimetype application/pdf

By organisation
Institute for International Economic Studies

Search outside of DiVA

GoogleGoogle Scholar
Total: 98 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 29 hits
ReferencesLink to record
Permanent link

Direct link