The concept of integrated stochastic processes is widely used in empirical macroeconomics; and cointegration analysis … considerable empirical method for extracting information from monetary aggregates for monetary policy purposes. -- cointegration …

-variate time series modelling using aggregated data of all eleven European Monetary Union member states. A cointegration analysis …

policy was satisfied. -- cointegration analysis ; monetary policy ; Markov regime switching analysis ; money demand ; vector …

rate and shows the interaction of the main variables of the monetary sector. -- Cointegration analysis ; impulse response …

An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegration. The models … decompositions are presented as tools for analyzing VAR models. -- Cointegration ; forecasting ; dynamic econometric models ; impulse …

(cointegration). It will be shown that aggregation does not distort the cointegration relation while some other features of the data … generating process will change considerably. Cointegration tests become invalid in a single equation framework but system … cointegration analysis seems to be robust against various aggregation strategies. -- cointegration ; aggregation ; time series …

for size correction. -- Cointegration ; weak exogeneity ; bootstrap test ; Subset VECM …