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|Title:||Speed of adjustment in cointegrated systems|
|Authors:||FANELLI Luca; PARUOLO PAOLO|
|Citation:||JOURNAL OF ECONOMETRICS vol. 158 no. 1 p. 130-141|
|Publisher:||ELSEVIER SCIENCE SA|
|Type:||Articles in periodicals and books|
|Abstract:||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|
|JRC Directorate:||Space, Security and Migration|
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