Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model

Soren Johansen

Oxford Bulletin of Economics and Statistics, 2005, vol. 67, issue 1, 93-104

Abstract: Regression coefficients are interpreted by a counterfactual experiment. For simultaneous equations this experiment can be implemented if the coefficients are identified, and throws some light on the role of instruments and the method of indirect least squares. This paper discusses another counterfactual experiment in the vector autoregressive model in order to interpret the coefficients of an identified cointegrating relation. The dynamics of the model is used to implement a long‐run change by changing the current values. The counterfactual experiment can be conducted precisely when the cointegrating relation is identified.

Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (56)

Downloads: (external link)
https://doi.org/10.1111/j.1468-0084.2005.00111.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:67:y:2005:i:1:p:93-104

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049

Access Statistics for this article

Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple

More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().