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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.
Series
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 584
National Category
Economics
Identifiers
URN: urn:nbn:se:su:diva-41909OAI: oai:DiVA.org:su-41909DiVA: diva2:342919
Available from: 2010-08-11 Created: 2010-08-11 Last updated: 2010-08-11Bibliographically approved

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CiteExportLink to record
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