Models and Relations in Economics and Econometrics

Katarina Juselius

No 99-13, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: Based on a money market analysis the paper discusses possible pitfalls in acroeconomic inference related to inadequate stochastic model formulation. A number of questions related to concepts such as empirical and theoretical steady-states, speed of adjustment, feed-back and interaction effects, and driving forces are addressed within the framework of the cointegrated VAR model. The economic notion of anticipated and unanticipated shocks to a system is discussed from an econometric point of view.

Keywords: I(2); price homogeneity; money market; cointegrated VAR (search for similar items in EconPapers)
JEL-codes: B4 C5 E5 (search for similar items in EconPapers)
Date: 1999-04
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Journal Article: Models and Relations in Economics and Econometrics (1999)
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