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This paper asks the question: Why has the ?general-to-specific? cointegrated VAR approach as developed in Europe had only limited success in the US as a tool for doing empirical macroeconomics, where what might be called a ?theory comes first? approach dominates? The reason this paper highlights...
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-varying Variance -- Vector Autoregressions I: Basics -- Vector Autoregressions II: Extensions -- Cointegration and VECMs -- Static …-proof approach as much as possible, and emphasizes the practical application of econometrics. They show with examples how to … find the book useful. “How to best start learning time series econometrics? Learning by doing. This is the ethos of this …
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Writing in Applied Economics Letters, Sumner (2004) advocates use of long lag lengths when conducting cointegration …
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The rapidly growing literature on the relationship between energy consumption and economicgrowth has not univocally identi…ed the ‘real’causal relationship yet. We argue that bivariate mod-els, which analyze the causality at the level of the total economy, are not appropriate — especiallyin...
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application of econometrics. They show with examples how to calculate and interpret the numerical results. This book begins with … Cointegration …
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