Two methodological approaches to empirical economics which are labelled 'theory first' versus 'reality first' are introduced building the background for the discussion of the individual contributions to this special issue. -- CVAR ; pre-eminence of theory ; general-to-specific ; empirical...

All economists say that they want to take their models to the data. But with incomplete and highly imperfect data, doing so is difficult and requires carefully matching the assumptions of the model with the statistical properties of the data. The cointegrated VAR (CVAR) offers a way of doing so....