Short-Run Parameter Changes in a Cointegrated Vector Autoregressive Model.
A family of cointegrated vector autoregressive models with adjusted short-run dynamics is introduced. These models can describe evolving short-run dynamics in a more flexible way than standard vector autoregressions, and yet likelihood analysis is based on reduced rank regression using conventional...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2009
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| Summary: | A family of cointegrated vector autoregressive models with adjusted short-run dynamics is introduced. These models can describe evolving short-run dynamics in a more flexible way than standard vector autoregressions, and yet likelihood analysis is based on reduced rank regression using conventional asymptotic tables. The family of dynamics-adjusted vector autoregressions consists of three models: a model subject to short-run parameter changes, a model with partial short-run dynamics and a model with short-run explanatory variables. An empirical illustration using US gasoline prices is presented, together with some simulation experiments. |
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