Determining long-run neutrality in a partially nonstationary model

DOI10.1016/j.econlet.2005.08.034zbMath1254.91632OpenAlexW1992627549MaRDI QIDQ1929099

A. Aznar, Carlos Domingo

Publication date: 7 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2005.08.034

zbMATH Keywords

cointegrationstructural formlong-run neutralitylong-run effect

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) Sample path properties (60G17)

Cites Work

• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Short Run and Long Run Causality in Time Series: Theory

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