Relevant bibliographies by topics / Cointegrated VAR

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters

Academic literature on the topic 'Cointegrated VAR'

Author: Grafiati
Published: 4 June 2021
Last updated: 25 July 2025

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Journal articles on the topic "Cointegrated VAR"

1

Warne, Anders. "Inference in Cointegrated VAR Systems." Review of Economics and Statistics 79, no. 3 (1997): 508–11. http://dx.doi.org/10.1162/003465300556922.

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Saikkonen, Pentti, and HELMUT Lütkepohl. "Infinite-Order Cointegrated Vector Autoregressive Processes." Econometric Theory 12, no. 5 (1996): 814–44. http://dx.doi.org/10.1017/s0266466600007179.

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Estimation of cointegrated systems via autoregressive approximation is considered in the framework developed by Saikkonen (1992, Econometric Theory 8, 1-27). The asymptotic properties of the estimated coefficients of the autoregressive error correction model (ECM) and the pure vector autoregressive (VAR) representations are derived under the assumption that the autoregressive order goes to infinity with the sample size. These coefficients are often used for analyzing the relationships between the variables; therefore, they are important for applied work. Tests for linear restrictions on the co
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Juselius, Katarina. "HAAVELMO’S PROBABILITY APPROACH AND THE COINTEGRATED VAR." Econometric Theory 31, no. 2 (2014): 213–32. http://dx.doi.org/10.1017/s0266466614000279.

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Some key econometric concepts and problems of great importance to Trygve Haavelmo and Ragnar Frisch are discussed within the general framework of a cointegrated VAR. The focus is on problems typical of time-series data such as multicollinearity, spurious correlation and regression, time dependent residuals, model selection, missing simultaneity, autonomy, and identification. The paper argues that the more recent development of unit root econometrics has been instrumental for a solution to the above problems.
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Engsted, Tom. "Explosive bubbles in the cointegrated VAR model." Finance Research Letters 3, no. 2 (2006): 154–62. http://dx.doi.org/10.1016/j.frl.2006.03.004.

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SACHDEVA, J. K., and Jyoti Nair. "Cointegration of East Asian, Indian and European Markets– A Study of Impact on Indian Bourses." Journal of Global Economy 14, no. 1 (2018): 3–27. http://dx.doi.org/10.1956/jge.v14i1.490.

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With huge investments flowing from all over the world to India, FIIs (Foreign Institutional Investors) and DIIs (Domestic Institutional Investors), retail investors, investment advisors, brokers and portfolio consultants keep abreast with latest research on fundamentals and technicals. Interdependence between stock markets is an important aspect of international portfolio management. In this paper, impact of Asian Indices like Hang Sang, KOSPI, SET SIT and TSEC on opening prices of Indian index Nifty was studied with various tools like Johansen Cointegration Test, VAR Granger Causality and Pai
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Johansen, Søren, and Morten Ørregaard Nielsen. "Nonstationary Cointegration in the Fractionally Cointegrated VAR Model." Journal of Time Series Analysis 40, no. 4 (2018): 519–43. http://dx.doi.org/10.1111/jtsa.12438.

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Dolado, Juan J., and Helmut Lütkepohl. "Making wald tests work for cointegrated VAR systems." Econometric Reviews 15, no. 4 (1996): 369–86. http://dx.doi.org/10.1080/07474939608800362.

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Park, Joon Y., and Peter C. B. Phillips. "Statistical Inference in Regressions with Integrated Processes: Part 2." Econometric Theory 5, no. 1 (1989): 95–131. http://dx.doi.org/10.1017/s0266466600012287.

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This paper continues the theoretical investigation of Park and Phillips. We develop an asymptotic theory of regression for multivariate linear models that accommodates integrated processes of different orders, nonzero means, drifts, time trends, and cointegrated regressors. The framework of analysis is general but has a common architecture that helps to simplify and codify what would otherwise be a myriad of isolated results. A good deal of earlier research by the authors and by others comes within the new framework. Special models of some importance are considered in detail, such as VAR syste
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Hansen, Henrik, and Søren Johansen. "Some tests for parameter constancy in cointegrated VAR‐models." Econometrics Journal 2, no. 2 (1999): 306–33. http://dx.doi.org/10.1111/1368-423x.00035.

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Pétursson, Thórarinn G., and Torsten Sløk. "Wage formation and employment in a cointegrated VAR model." Econometrics Journal 4, no. 2 (2001): 191–209. http://dx.doi.org/10.1111/1368-423x.00062.

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Dissertations / Theses on the topic "Cointegrated VAR"

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Canepa, Alessandra. "Bootstrap inference in cointegrated VAR models." Thesis, University of Southampton, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.268384.

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Zhang, Yanqun. "Cointegrated VAR model and China's monetary policy : 1979-2004 /." Aachen : Shaker, 2007. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=015707954&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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Singh, Shiu Raj. "Dynamics of macroeconomic variables in Fiji : a cointegrated VAR analysis." Diss., Lincoln University, 2008. http://hdl.handle.net/10182/774.

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Abstract of thesis submitted in partial fulfilment of the requirements for the Degree of Master of Commerce and Management Dynamics of macroeconomic variables in Fiji : a cointegrated VAR analysis By Shiu Raj Singh The objective of this study is to examine how macroeconomic variables of Fiji inter-relate with aggregate demand and co-determine one another using a vector autoregression (VAR) approach. This study did not use a prior theoretical framework but instead used economic justification for selection of variables. It was found that fiscal policy, which is generally used as a stabili
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Zhang, Yanqun [Verfasser]. "Cointegrated VAR Model and China's Monetary Policy: 1979-2004 / Yanqun Zhang." Aachen : Shaker, 2007. http://d-nb.info/1166509311/34.

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Boca, Saravia Alexander Antonio. "Presidential approval in Peru : an empirical analysis using a fractionally cointegrated VAR." Bachelor's thesis, Pontificia Universidad Católica del Perú, 2019. http://hdl.handle.net/20.500.12404/15294.

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Kim, Hae-min. "Empirical study of new Keynesian model using cointegrated VAR : what New Zealand data tell us." Thesis, Massachusetts Institute of Technology, 2009. http://hdl.handle.net/1721.1/54656.

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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Economics, 2009.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (p. 27-28).<br>Econometric analysis of rational expectations models has been a widely studied topic in the macro-econometric literature. This thesis looks in particular at evaluating Neokeynesian model (NKM) with respect to its conformity with the data. Among the available econometric techniques, this thesis investigates what cointegrated VAR can illuminate about how close the NKM gets to the data. This project closely follow the approa
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Fonseca, Eder Lucio da. "Modelo de cointegração variando com o tempo: abordagem via ondaletas." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-26032017-175337/.

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Duas ou mais séries não estacionárias são cointegradas se existir uma relação de equilíbrio de longo prazo entre elas. Nas últimas décadas, o interesse na literatura sobre o tema cointegração aumentou de maneira expressiva. Os modelos tradicionais supõem que o vetor de cointegração não varia ao longo do tempo. Entretanto, existem evidências na literatura de que esta suposição pode ser considerada muito restritiva. Utilizando o conceito de ondaletas, propomos um modelo de correção de erros vetorial em que é permitido ao vetor de cointegração variar ao longo do tempo. Diferente de trabalhos sim
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PEDERSEN, Michael. "Essays on applications of I(1) and I(2) cointegrated VAR models on issues in international price parties." Doctoral thesis, 2003. http://hdl.handle.net/1814/5033.

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Defence date: 6 June 2003<br>Examining Board: Søren Johansen, Supervisor, External EUI and Copenhagen ; Anindya Banerjee, EUI ; Marius Ooms, Free University Amsterdam, Dept. of Econometrics ; Andrew Harvey, University of Cambridge, Faculty of Economics and Politics<br>First made available online on 23 April 2018<br>-- Stock market integration and the cointegrated VAR -- Does the PPP hold within the US? -- PPP, cointegration, and non-stationary inflation -- I(2)-to-I(l) transformation and deterministic terms
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Books on the topic "Cointegrated VAR"

1

Warne, Anders. Inference in cointegrated VAR systems. Stockholm University, Institute for International Economic Studies, 1993.

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Cointegrated VAR Model: Methodology and Applications. Oxford University Press, Incorporated, 2006.

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The cointegrated VAR model: Methodology and applications. Oxford University Press, 2006.

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Wiedmann, Marcel. Money, Stock Prices and Central Banks: A Cointegrated VAR Analysis. Physica-Verlag, 2013.

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MONEY, STOCK PRICES AND CENTRAL BANKS: A COINTEGRATED VAR ANALYSIS. SPRINGER, 2011.

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Wiedmann, Marcel. Money, Stock Prices and Central Banks: A Cointegrated VAR Analysis. Physica, 2011.

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Wiedmann, Marcel. Money, Stock Prices and Central Banks: A Cointegrated VAR Analysis. Physica-Verlag, 2011.

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Juselius, Katarina. Cointegrated Var Model: Methodology and Applications. Advanced Texts in Econometrics. Oxford University Press, 2006.

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Juselius, Katarina. The Cointegrated VAR Model: Methodology and Applications (Advanced Texts in Econometrics). Oxford University Press, USA, 2007.

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Juselius, Katarina. The Cointegrated VAR Model: Methodology and Applications (Advanced Texts in Econometrics). Oxford University Press, USA, 2007.

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Book chapters on the topic "Cointegrated VAR"

1

Brüggemann, Ralf. "Model Reduction in Cointegrated VAR Models." In Lecture Notes in Economics and Mathematical Systems. Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-642-17029-4_3.

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Kammerdiner, Alla R., and Panos M. Pardalos. "Analysis of Multichannel EEG Recordings Based on Generalized Phase Synchronization and Cointegrated VAR." In Computational Neuroscience. Springer New York, 2010. http://dx.doi.org/10.1007/978-0-387-88630-5_18.

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Juselius, Katarina. "The cointegrated VAR model." In The Cointegrated VAR Model: Methodology and Applications. Oxford University PressOxford, 2006. http://dx.doi.org/10.1093/oso/9780199285662.003.0005.

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Abstract The purpose of this chapter is to introduce the non-stationary VAR model and show that the presence of unit roots (i.e. stochastic trends) leads to a reduced rank condition on the long-run matrix .
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Juselius, Katarina. "The unrestricted VAR." In The Cointegrated VAR Model: Methodology and Applications. Oxford University PressOxford, 2006. http://dx.doi.org/10.1093/oso/9780199285662.003.0004.

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Abstract The probability approach in econometrics requires an explicit probability formulation of the empirical model so that a fully specified statistical model can be derived and checked against the data. Assume that we have derived an estimator under the assumption of multivariate normality as demonstrated in the previous chapter.
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Juselius, Katarina. "Deterministic components in the I(1) model." In The Cointegrated VAR Model: Methodology and Applications. Oxford University PressOxford, 2006. http://dx.doi.org/10.1093/oso/9780199285662.003.0006.

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Abstract constant term and the linear trend in a simple dynamic regression model. Section 6.2 then extends the discussion to the more complicated case of the VAR model. Section 6.3 discusses five cases of different restrictions imposed on the trend and the constant in the VAR model. Section 6.4 derives the MA representation when there is a trend and a constant in the VAR model.
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Juselius, Katarina. "Identification of a structural MA model." In The Cointegrated VAR Model: Methodology and Applications. Oxford University PressOxford, 2006. http://dx.doi.org/10.1093/oso/9780199285662.003.0015.

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Abstract Section 15.1 introduces the structural VAR model, Section 15.2 discusses how to separate between transitory and permanent shocks in the VAR model, and Section 15.3 how to formulate and interpret some conditions conventionally assumed to define a structural shock. Section 15.4 illustrates a structural common trends model based on the Danish data and Section 15.5 concludes with a discussion of the structural labelling of empirical shocks.
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Juselius, Katarina. "Estimation in the I(1) model." In The Cointegrated VAR Model: Methodology and Applications. Oxford University PressOxford, 2006. http://dx.doi.org/10.1093/oso/9780199285662.003.0007.

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Juselius, Katarina. "Specific-to-general and general-to-specific." In The Cointegrated VAR Model: Methodology and Applications. Oxford University PressOxford, 2006. http://dx.doi.org/10.1093/oso/9780199285662.003.0019.

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Abstract Up to this point we have analysed just one set of variables representing a broadly formulated money market model. The unrestricted VAR model estimated at the first stage of the analysis was just a convenient reformulation of the covariances of the data, and bore little resemblance to the underlying economic model. By systematically imposing more and more, statistically acceptable, restrictions on the VAR, we were able to uncover economically meaningful structures in the data. Such a procedure is called general-to specific modelling. However, some of the findings were consistent with o
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Juselius, Katarina. "Models and relations in economics and econometrics." In The Cointegrated VAR Model: Methodology and Applications. Oxford University PressOxford, 2006. http://dx.doi.org/10.1093/oso/9780199285662.003.0002.

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Abstract Chapter 1 discussed the difficult link between a theory model and an empirical model based on data collected by passive observation. This chapter discusses the VAR approach as a general framework within which statistical inference on macroeconomic hypotheses can be given a valid formulation. An urge to understand more fully why the VAR approach frequently produced results that seemed to cast doubt on conventional theories and beliefs was the motivation for writing this chapter. It focuses on what could be called the economist ‘s approach, as opposed to the statistician ‘s approach, to
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Juselius, Katarina. "The probability approach in econometrics, and the VAR." In The Cointegrated VAR Model: Methodology and Applications. Oxford University PressOxford, 2006. http://dx.doi.org/10.1093/oso/9780199285662.003.0003.

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Abstract Chapter 1 discussed Haavelmo ‘s probability approach to empirical macroeconomics and the need to formulate a statistical model describing the data which is general enough to encompass the major features of the economic model. Because most macroeconomic data exhibit strong time dependence, it is natural to formulate the empirical model in terms of time-dependent stochastic processes. The aim of this chapter is to discuss under which simplifying assumptions on the vector time-series process the VAR model can be used as an adequate summary description of the information in the sample dat
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