Speed of adjustment in cointegrated systems

DOI10.1016/J.JECONOM.2010.03.020MaRDI QIDQ736565zbMATH OpenOpenAlexFDO

Authors Luca Fanelli, Paolo Paruolo

Publication date 4 August 2016

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

Full work available at URL https://mpra.ub.uni-muenchen.de/9174/1/MPRA_paper_9174.pdf

zbMATH Keywords

half-lifespeed of adjustment\(\pi\)-lifeimpact factorsinterim and total multipliersvector equilibrium correction

Mathematics Subject Classification ID

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

Recommendations

• Cointegration and speed of convergence to equilibrium
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Time-varying cointegration
• Testing cointegration relationship in a semiparametric varying coefficient model
• Analysis of cointegrated VARMA processes

Cites work

• scientific article; zbMATH DE number 3940576 (Why is no real title available?)
• scientific article; zbMATH DE number 1261669 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Absorption of shocks in nonlinear autoregressive models
• Cointegration and speed of convergence to equilibrium
• Error Bands for Impulse Responses
• Generalized impulse response analysis in linear multivariate models
• Impact factors
• Impulse response analysis in nonlinear multivariate models
• Nonlinear impulse response functions
• Short Run and Long Run Causality in Time Series: Theory
• Short run and long run causality in time series: inference
• Structural changes in the cointegrated vector autoregressive model
• Tests for Long-Run Granger Non-Causality in Cointegrated Systems

Cited in

(4)

• The instantaneous speed of adjustment assumption and stability of economic models
• scientific article; zbMATH DE number 1418026 (Why is no real title available?)
• GARCH density and functional forecasts
• Half-lives of currencies and aggregation bias

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