Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models
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Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models. / Johansen, Søren.
2018.Research output: Working paper › Research
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TY - UNPB
T1 - Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models
AU - Johansen, Søren
PY - 2018/5/29
Y1 - 2018/5/29
N2 - A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity of the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by a few simple examples of relevance for modelling causal graphs.
AB - A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity of the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by a few simple examples of relevance for modelling causal graphs.
KW - Adjustment coefficients
KW - cointegrating coefficients
KW - CVAR
KW - causal models
U2 - 10.2139/ssrn.3180010
DO - 10.2139/ssrn.3180010
M3 - Working paper
T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)
BT - Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models
ER -
ID: 248645461