000			02732naaaa2200361uu 4500
001			https://directory.doabooks.org/handle/20.500.12854/57766
005			20220220065609.0
020			_a9783038429555
020			_a9783038429562
041	0		_aEnglish
042			_adc
100	1		_aKatarina Juselius (Ed.) _4auth
245	1	0	_aRecent Developments in Cointegration
260			_bMDPI - Multidisciplinary Digital Publishing Institute _c2018
300			_a1 electronic resource (VIII, 210 p.)
506	0		_aOpen Access _2star _fUnrestricted online access
520			_aThe Cointegrated VAR model allows the user to study both long-run and short-run effects in the same model. It 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 an economic theory model can be translated into testable hypotheses of the order of integration and cointegration of key variables and their relationships. While the latter used to be I(1), macroeconomic and financial data have recently shown a tendency for puzzling long and persistent swings around long-run equilibrium values typical of self-reinforcing feed-back mechanisms. Such persistent fluctuations are frequently indistinguishable from I(2) data, pointing to the need for new econometric solutions. In this book, many of our most distinguished scholars in the field of cointegration offer a variety of solutions to these problems by formulating new models, tests, and asymptotics more suitable for an I(2) world. Several of the papers apply these cointegration techniques to a variety of empirical problems, thereby showing how to obtain valuable information about some of the mechanisms that have generated the recent crises.
540			_aCreative Commons _fhttps://creativecommons.org/licenses/by-nc-nd/4.0/ _2cc _4https://creativecommons.org/licenses/by-nc-nd/4.0/
546			_aEnglish
653			_aTests of Common Trends
653			_aNear Integration
653			_aI(1) and I(2) models
653			_aPPP and UIP
653			_aPanel Data Cointegration
653			_aExtracting Common Trends
653			_aFinancial Obligations and Crisis Cycles
653			_aHouse Price Model
653			_aImperfect Knowledge
653			_aMultivariate Cointegration
653			_aPerformance of Algorithms
856	4	0	_awww.oapen.org _uhttp://www.mdpi.com/books/pdfview/book/669 _70 _zDOAB: download the publication
856	4	0	_awww.oapen.org _uhttps://directory.doabooks.org/handle/20.500.12854/57766 _70 _zDOAB: description of the publication
999			_c71882 _d71882