Some methods for the evaluation of parameter constancy in cointegrated vector autoregressive (VAR) models are discussed. Two different ways of re-estimating the VAR-model are proposed; one in which all parameters are estimated recursively based upon the likelihood function for the first...

Campbell and Shiller (1987) proposed a graphical technique for the present value model which consists of plotting the spread and theoretical spread as calculated from the cointegrated vector autoregressive model. We extend these techniques to a number of rational expectation models and give a...

Regression coefficients are interpreted by a counterfactual experiment. For simultaneous equations this experiment can be implemented if the coefficients are identified, and throws some light on the role of instruments and the method of indirect least squares. This paper discusses another...

This paper discusses model-based inference in an autoregressive model for fractional processes which allows the process to be fractional of order d or d-b. Fractional differencing involves infinitely many past values and because we are interested in nonstationary processes we model the data...

An algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, is analyzed with the purpose of finding an estimator that is robust to outliers and structural breaks. This estimator is an example of a one-step M-estimator based on Huber’s skip...

In this note we develop the likelihood-ratio test for some linear restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables, when the constant or linear term is restricted to the cointegration space. Copyright Royal Economic...

Based on an idea of Granger (1986, <italic>Oxford Bulletin of Economics and Statistics</italic> 48, 213–228), we analyze a new vector autoregressive model defined from the fractional lag operator 1 − (1 − <italic>L</italic>)^null. We first derive conditions in terms of the coefficients for the model to generate processes...

The cointegrated VAR model is proposed as an empirically coherent framework for analyzing macroeconomic phenomena within a dynamic system of pulling and pushing forces. As an illustration we show how an economic theory for inflation and money demand gives rise to a number of hypotheses...