کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096900 1376556 2010 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Speed of adjustment in cointegrated systems
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Speed of adjustment in cointegrated systems
چکیده انگلیسی
This paper discusses summary measures for the speed of adjustment in possibly cointegrated Vector Autoregressive Processes (VAR). In particular we propose long-run half-lives, based on interim and total multipliers. We discuss their relation with Granger-noncausality and other types of half-life, which are shown to convey different information, except in the univariate AR(1) case. We present likelihood-based inference on long-run half-lives, regarded as discrete functions of parameters in the VAR model. It is shown how asymptotic confidence regions can be defined. An empirical illustration concerning speed of adjustment to purchasing-power parity is provided.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 158, Issue 1, September 2010, Pages 130-141
نویسندگان
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