Cointegration and speed of convergence to equilibrium

DOI10.1016/0304-4076(94)01697-6zbMath0844.62097OpenAlexW2024619871MaRDI QIDQ1915442

Yongcheol Shin, M. Hashem Pesaran

Publication date: 1 September 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01697-6

zbMATH Keywords

asymptotic normalityinterest rateexchange rateimpulse response functionsspeed of convergencecointegrating relationseffects of shocksmultivariate \(\text{VAR} (p)\) modelpersistence profilepurchasing power parity relationtime profileuncovered interest parity relation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (10)

Impulse response analysis in infinite order cointegrated vector autoregressive processes ⋮ Impulse response analysis in nonlinear multivariate models ⋮ Generalized impulse response analysis in linear multivariate models ⋮ The law of one food price ⋮ BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL ⋮ Speed of adjustment in cointegrated systems ⋮ ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY ⋮ Absorption of shocks in nonlinear autoregressive models ⋮ The transfer problem in the euro area ⋮ Structural analysis of vector error correction models with exogenous \(I(1)\) variables

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