Speed of adjustment in cointegrated systems

DOI10.1016/j.jeconom.2010.03.020zbMath1431.62366OpenAlexW1994357457MaRDI QIDQ736565

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

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

Related Items (1)

GARCH density and functional forecasts

Cites Work

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• Impact factors
• Short run and long run causality in time series: inference
• Absorption of shocks in nonlinear autoregressive models
• Impulse response analysis in nonlinear multivariate models
• Generalized impulse response analysis in linear multivariate models
• Nonlinear impulse response functions
• Structural changes in the cointegrated vector autoregressive model
• Cointegration and speed of convergence to equilibrium
• Tests for Long-Run Granger Non-Causality in Cointegrated Systems
• Short Run and Long Run Causality in Time Series: Theory
• Error Bands for Impulse Responses

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