Applied Cointegration Analysis in the Mirror of Macroeconomic Theory

Paul Söderlind and Anders Vredin ()

No 30, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

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 predi tions 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)
Pages: 25 pages
Date: 1994-11
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Citations: View citations in EconPapers (2)

Published in Journal of Applied Econometrics, 1996, pages 363-381

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Related works:
Journal Article: Applied Cointegration Analysis in the Mirror of Macroeconomic Theory (1996)
Working Paper: Applied Cointegration Analysis in the Mirror of Macroeconomic Theory (1995)
Working Paper: Applied Conintegration Analysis in the Mirror of Macroeconomic Theory (1994)
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