. Symmetry is rejected for the short-run, thus for the given cointegration vectors the final modelling stage is based on the full …, where the VAR based cointegration analysis is combined with a graph-theoretic search for instantaneous causal relations and … unanticipated interest rate change by the Fed. -- Two-country model ; Cointegration ; Structural VAR ; Gets Model Selection …

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 …

CVAR fits the data very well. -- Commodity prices ; cointegration ; CVAR analysis ; global liquidity ; inflation …

Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a …

Johansen and Nielsen (2010b). We first give an brief summary of the analysis of cointegration in the vector autoregressive … remaining parameters are asymptotically Gaussian. The asymptotic distribution of the likelihood ratio test for cointegration …

cointegrations. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues …. In this paper we develop a new time varying parameter model which permits cointegration. We use a specification which …

country or region examined, systematic treatment of long-run properties through cointegration analysis, and flexible dynamic …