The cointegrated VAR model : methodology and applications

TLDR: In this paper, a model and relations in economics and economics and Econometrics are discussed. But the authors focus on the Cointegration rank and do not discuss the relationship between the model and the model.

Abstract: BRIDGING ECONOMICS AND ECONOMETRICS 1 Introduction 2 Models and Relations in Economics and Econometrics 3 The Probability Approach in Econometrics and the VAR SPECIFYING THE VAR MODEL 4 The Unrestricted VAR 5 The Cointegrated VAR Model 6 Deterministic Components in the I(1) Model 7 Estimation in the I(1) Model 8 Determination of Cointegration Rank TESTING HYPOTHESES ON COINTEGRATION 9 Recursive Tests of Constancy 10 Testing Restrictions on Beta 11 Testing Restrictions on Alpha IDENTIFICATION 12 Identification of the Long-Run Structure 13 Identification of the Short-Run Structure 14 Identification of Common Trends 15 Identification of a Structural MA Model THE I(2) MODEL 16 Analyzing I(2) Data with the I(1) Model 17 The I(2) Model: specification and estimation 18 Testing Hypotheses in the I(2) Model A METHODOLOGICAL APPROACH 19 Specific-to-General and General-to-Specific 20 Wage, Price, and Unemployment Dynamics 21 Foreign Transmission Effects: Denmark versus Germany 22 Collecting the Threads Appendix A: The Asymptotic Tables for Cointegration Rank