Applied Cointegration Analysis in the Mirror of Macroeconomic Theory

Paul Söderlind and Anders Vredin

No 1120, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: Applied cointegration analysis has much to gain from strong links with economic theory. For example, the current generation of equilibrium macroeconomic models have simple predictions for cointegrating vectors. These models also suggest that important information about the economic structure can be found in the short-run dynamics, which most cointegration studies disregard. Simulations of a stochastic business cycle model show that tests of cointegrating vectors, forecasts, and variance decompositions based on long-run assumptions can be sharpened by imposing even very simple economic restrictions.

Keywords: Cointegration; Money Demand; Stochastic Growth Model (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 1995-01
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=1120 (application/pdf)

Related works:
Journal Article: Applied Cointegration Analysis in the Mirror of Macroeconomic Theory (1996)
Working Paper: Applied Conintegration Analysis in the Mirror of Macroeconomic Theory (1994)
Working Paper: Applied Cointegration Analysis in the Mirror of Macroeconomic Theory (1994)
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:cpr:ceprdp:1120

Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... ers/dp.php?dpno=1120

Access Statistics for this paper

More papers in CEPR Discussion Papers from Centre for Economic Policy Research 33 Great Sutton Street, London EC1V 0DX, UK.
Bibliographic data for series maintained by CEPR ().