Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models

Publikation: Working paperForskning

Abstract

A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity of the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by a few simple examples of relevance for modelling causal graphs.
OriginalsprogEngelsk
Antal sider9
DOI
StatusUdgivet - 29 maj 2018
NavnUniversity of Copenhagen. Institute of Economics. Discussion Papers (Online)
Nummer18-05
ISSN1601-2461

Emneord

  • Adjustment coefficients
  • cointegrating coefficients
  • CVAR
  • causal models

Citationsformater