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Influential observations in cointegrated VAR models: Danish money demand 1973--2003

Heino Bohn Nielsen

Econometrics Journal, 2008, vol. 11, issue 1, pages 39-57

Abstract: This paper suggests a set of simple diagnostic tools for assessing the influence of a patch of κ observations in a cointegrated vector autoregressive model. The diagnostics are based on the leave-κ-out principle ( Bruce and Martin, 1989Journal of the Royal Statistical Society, Series B, 51, 363--424) and the influence is measured by the likelihood displacement ( Cook and Weisberg, 1982Residuals and Influence in Regression. London: Chapman and Hall). An application to Danish money demand 1973--2003 suggests that the observations for real money in 1999 are affected by institutional factors related to the definition of broad money, and that the dynamic adjustment following the international oil-price shock in 1973 is very influential for the long-run parameters. Copyright Royal Economic Society 2007

Date: 2008
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