English, Article, Journal or magazine article edition: Estimating and Restricting Growth Rates and Cointegration Means With Applications to Consumption and Money Demand Håvard Hungnes

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Bookmark: http://trove.nla.gov.au/version/41294
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Estimating and Restricting Growth Rates and Cointegration Means With Applications to Consumption and Money Demand
Author
  • Håvard Hungnes
Physical Description
  • preprint
Notes
  • The parameters in the cointegration vector and the loading parameters are not the only interesting parameters in a vector cointegration model. With a reformulation of the model the intercept parameters can be decomposed into growth parameters and cointegration mean parameters. These parameters have economic interpretations and are therefore also important. We show how these parameters can be estimated and restricted. The latter can be achieved by using a linear switching algorithm. Consumption and money demand applications illustrate the method.
  • Johansen procedure; cointegrated VAR; growth rates; cointegration means; linear switching algorithm; consumption; money demand; savings ratio.
  • RePEc:ssb:dispap:309
Language
  • English
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