Fanelli, Luca; Paruolo, Paolo - In: Journal of Econometrics 158 (2010) 1, pp. 130-141
This paper discusses summary measures for the speed of adjustment in possibly cointegrated Vector Autoregressive Processes (VAR). In particular we propose long-run half-lives, based on interim and total multipliers. We discuss their relation with Granger-noncausality and other types of...