The Cointegrated VAR Methodology

Publikation: Bidrag til bog/antologi/rapportEncyclopædiartikelForskningfagfællebedømt

The cointegrated VAR approach combines differences of variables with cointegration among them and by doing so allows the user to study both long-run and short-run effects in the same model. The CVAR describes an economic system where variables have been pushed away from long-run equilibria by exogenous shocks (the pushing forces) and where short-run adjustments forces pull them back toward long-run equilibria (the pulling forces). In this model framework, basic assumptions underlying a theory model can be translated into testable hypotheses on the order of integration and cointegration of key variables and their relationships. The set of hypotheses describes the empirical regularities we would expect to see in the data if the long-run properties of a theory model are empirically relevant.
TitelOxford Research Encyclopedia of Economics and Finance
ForlagOxford University Press
Publikationsdatomaj 2018
StatusUdgivet - maj 2018


  • Det Samfundsvidenskabelige Fakultet - cointegration, error correction, vector autoregressive models, short-run effects, long-run effects, pushing force, pulling force, dummy variables, regime shifts, identification, linking theory with evidence

ID: 199176127