The Cointegrated VAR Model

• Initially uses a single data set to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model
• Suggests a new framework for building a bridge between observed macroeconomic reality and the economic models
• Provides an analysis of I(2) models
• Concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality

Readership: Graduates and post-graduates in economics looking for an advanced macroeconometric text. Academics, bankers, and central bankers looking for a useful reference for empirical research based on time-series analysis.

Katarina Juselius, Professor at the Institute of Economics, University of Copenhagen

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