Speed of adjustment in cointegrated systems
This paper discusses summary measures for the speed of adjustment in possibly
cointegrated Vector Autoregressive Processes (VAR). In particular we propose long-
run half-lives, based on interim and total multipliers. We discuss their relation with
Granger-noncausality and other types of half-life, which are shown to convey di¤erent
information, except in the univariate AR(1) case. We present likelihood-based inference
on long-run half-lives, regarded as discrete functions of parameters in the VAR model.
It is shown how asymptotic con¿dence regions can be de¿ned. An empirical illustration
concerning speed of adjustment to purchasing-power parity is provided
FANELLI Luca;
PARUOLO Paolo;
2010-09-29
ELSEVIER SCIENCE SA
JRC53384
0304-4076,
https://publications.jrc.ec.europa.eu/repository/handle/JRC53384,
10.1016/j.jeconom.2010.03.020,
Additional supporting files
| File name | Description | File type | |
|---|
