The Cointegrated VAR Model —— Methodology and Applications

----- 协整分析 VAR 模式：方法学与应用

ISBN: 9780199285662 出版年：2006 页码：478 Juselius, Katarina Oxford University Press

BRIDGING ECONOMICS AND ECONOMETRICS 1. Introduction 2. Models and Relations in Economics and Econometrics 3. The Probability Approach in Econometrics and the VAR SPECIFYING THE VAR MODEL 4. The Unrestricted VAR 5. The Cointegrated VAR Model 6. Deterministic Components in the I(1) Model 7. Estimation in the I(1) Model 8. Determination of Cointegration Rank TESTING HYPOTHESES ON COINTEGRATION 9. Recursive Tests of Constancy 10. Testing Restrictions on Beta 11. Testing Restrictions on Alpha IDENTIFICATION 12. Identification of the Long-Run Structure 13. Identification of the Short-Run Structure 14. Identification of Common Trends 15. Identification of a Structural MA Model THE I(2) MODEL 16. Analyzing I(2) Data with the I(1) Model 17. The I(2) Model: specification and estimation 18. Testing Hypotheses in the I(2) Model A METHODOLOGICAL APPROACH 19. Specific-to-General and General-to-Specific 20. Wage, Price, and Unemployment Dynamics 21. Foreign Transmission Effects: Denmark versus Germany 22. Collecting the Threads Appendix A: The Asymptotic Tables for Cointegration Rank