Speed of adjustment in cointegrated systems
type: Item
instance of: scholarly article
title: Speed of adjustment in cointegrated systems
zbMATH Open document ID: 1431.62366
author: Luca Fanelli
author: Paolo Paruolo
published in: Journal of Econometrics
publication date: 2016-08-04T00:00:00Z
full work available at URL: MPRA paper 9174.pdf
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6609183
zbMATH Keywords: half-life
zbMATH Keywords: \(\pi\)-life
zbMATH Keywords: speed of adjustment
zbMATH Keywords: impact factors
zbMATH Keywords: vector equilibrium correction
zbMATH Keywords: interim and total multipliers
MaRDI profile type: Publication
OpenAlex ID: W1994357457
cites work: Short Run and Long Run Causality in Time Series: Theory
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cites work: Structural changes in the cointegrated vector autoregressive model
cites work: Q3711625
cites work: Impulse response analysis in nonlinear multivariate models
cites work: Q5312885
cites work: Q4231779
cites work: Impact factors
cites work: Cointegration and speed of convergence to equilibrium
cites work: Generalized impulse response analysis in linear multivariate models
cites work: Nonlinear impulse response functions
cites work: Error Bands for Impulse Responses
cites work: Absorption of shocks in nonlinear autoregressive models
cites work: Tests for Long-Run Granger Non-Causality in Cointegrated Systems
DOI: 10.1016/J.JECONOM.2010.03.020
description: scientific article; zbMATH DE number 6609183