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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/17993| Title: | Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model |
| Keywords: | C32 ddc:330 Cointegrated VAR unit root approximation economic theory models expectations general equilibrium DSGE models VAR-Modell Kointegration Wirtschaftsmodell Allgemeines Gleichgewicht |
| Issue Date: | 16-Oct-2013 |
| Publisher: | Kiel Institute for the World Economy (IfW) Kiel |
| Description: | Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity in the economic model implies the econometric concept of strong exogeneity for â. The economic equilibrium corresponds to the so-called long-run value (Johansen 2005), the comparative statics are captured by the long-run impact matrix, C; and the exogenous variables are the common trends. Also, the adjustment parameters of the CVAR are shown to be interpretable in terms of expectations formation, market clearing, nominal rigidities, etc. The general-partial equilibrium distinction is also discussed. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/17993 |
| Other Identifiers: | http://hdl.handle.net/10419/17993 ppn:566317826 RePEc:zbw:ifwedp:7283 |
| Appears in Collections: | EconStor |
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