Models and relations in economics and econometrics
Research output: Contribution to journal › Journal article › Research › peer-review
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Models and relations in economics and econometrics. / Juselius, Katarina.
In: Journal of Economic Methodology, Vol. 6, No. 2, 1999, p. 259-290.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Models and relations in economics and econometrics
AU - Juselius, Katarina
N1 - JEL Classification: B4, C5, E5
PY - 1999
Y1 - 1999
N2 - Based on a money market analysis using the cointegrated VAR model the paper demonstrates some possible pitfalls in macroeconomic inference as a direct consequence of inadequate stochastic model formulation. A number of questions related to concepts such as empirical and theoretical steady-states, speed of adjustment, feedback and interaction effects, and driving forces are addressed within the framework of the cointegrated VAR model. The interpretation and analysis of common driving trends are related to the notion of shocks or disturbances to a system, distinguishing between permanent and transitory, and anticipated and unanticipated effects
AB - Based on a money market analysis using the cointegrated VAR model the paper demonstrates some possible pitfalls in macroeconomic inference as a direct consequence of inadequate stochastic model formulation. A number of questions related to concepts such as empirical and theoretical steady-states, speed of adjustment, feedback and interaction effects, and driving forces are addressed within the framework of the cointegrated VAR model. The interpretation and analysis of common driving trends are related to the notion of shocks or disturbances to a system, distinguishing between permanent and transitory, and anticipated and unanticipated effects
U2 - 10.1080/13501789900000017
DO - 10.1080/13501789900000017
M3 - Journal article
VL - 6
SP - 259
EP - 290
JO - Journal of Economic Methodology
JF - Journal of Economic Methodology
SN - 1350-178X
IS - 2
ER -
ID: 151198