Cointegration and adjustment in the CVAR(É) representation of some partially observed CVAR(1) models

A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity for the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by two simple examples of relevance for modelling causal graphs.

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Year of publication:	2019
Authors:	Johansen, Søren
Published in:	Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 7.2019, 1, p. 1-10
Publisher:	Basel : MDPI
Subject:	adjustment coefficients \| cointegrating coefficients \| CVAR \| causal models

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/econometrics7010002 [DOI] 1668933926 [GVK] hdl:10419/247503 [Handle]
Classification:	C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10012696218