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

Søren Johansen

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 : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 7.2019, 1/2, p. 1-10
Subject:	adjustment coefficients \| cointegrating coefficients \| CVAR \| causal models \| Kointegration \| Cointegration \| Schätztheorie \| Estimation theory \| Kausalanalyse \| Causality analysis \| Zeitreihenanalyse \| Time series analysis \| Risikomaß \| Risk measure

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/econometrics7010002 [DOI] hdl:10419/247503 [Handle]
Classification:	C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012025719