Lectures on by SÃ¸ren Johansen Department of Economics ...

More documents

Recommendations

Info

Johansen, S. (2006) Cointegration: a survey. In: T.C. Mills and K. Patterson (eds.) Palgrave Handbook of Econometrics: Volume 1, Econometric Theory, Basingstoke, Palgrave Macmillan. www.math.ku.dk/~sjo Juselius, K. and Franchi, M. (2007) Taking a DSGE Model to the Data Meaningfully. Economics: The Open-Access, Open-Assessment E-Journal, 1, 2007-4. www.economics-ejournal.org/economics/journalarticles/2007-4 Exercises Temperature and sea level data 1
LECTURE 2 THE STATISTICAL ANALYSIS OF THE I(1) MODEL 1. THE UNRESTRICTED VAR MODEL 2. ESTIMATION OF THE UNRESTRICTED VAR BY REGRESSION 3. CONCLUSION ON ANALYSIS OF UNRESTRICTED VAR 4. REDUCED RANK REGRESSION 5. ANALYSIS OF THE I(1) COINTEGRATED VAR MODEL 6. ESTIMATION IN THE I(1) MODEL WITH RESTRICTIONS ON 7. ESTIMATION IN THE I(1) MODEL WITH RESTRICTED DETERMINISTIC TERMS 8. DETERMINATION OF COINTEGRATION RANK 9. CONCLUSION 1 10. A COINTEGRATION ANALYSIS OF A DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODEL 11. CONCLUSION 2
Page 1: 1 Lectures on THE
Page 5 and 6: 2 2. ESTIMATION OF THE UNRESTRICTED
Page 7 and 8: 29 DLEVEL 15 10 Actual and Fitted 1
Page 9 and 10: 31 Roots of the Companion Matrix 1.
Page 11 and 12: 6 4. REDUCED RANK REGRESSION Consid
Page 13 and 14: 8 5. ANALYSIS OF THE I(1) COINTEGRA
Page 15 and 16: 8. DETERMINATION OF COINTEGRATION R
Page 17 and 18: 33 0.6 Temperature versus Sea Level
Page 19 and 20: 38 0.4 Temperature against Temperat
Page 21 and 22: 13 6. ESTIMATION IN THE I(1) MODEL
Page 23 and 24: 15 9. CONCLUSION We have shown that
Page 25 and 26: 17 THE DATA The data 1948:1 to 2002
Page 27 and 28: 19 STATISTICAL ASSUMPTIONS AND ANAL
Page 29 and 30: The model considered by Ireland add
Page 31 and 32: 24 Hypotheses of interest: two scen
Page 33 and 34: 36 0.05 khat 0.10 0.15 0.05
Page 35 and 36: 26 We take the models for period I
Page 38: 28 11. CONCLUSION 2 When taking a m

Lectures on by SÃ¸ren Johansen Department of Economics ...

Create successful ePaper yourself

Delete template?

Save as template?