This paper discusses summary measures for the speed of adjustment in possibly cointegrated Vector Autoregressive Processes (VAR). In particular we propose long-run half-lives, based on interim and total multipliers. We discuss their relation with Granger-noncausality and other types of half-life, which are shown to convey different information, except in the univariate AR(1) case. We present likelihood-based inference on long-run half-lives, regarded as discrete functions of parameters in the VAR model. It is shown how asymptotic confidence regions can be defined. An empirical illustration concerning speed of adjustment to purchasing-power parity is provided.
Titolo: | Speed of adjustment in cointegrated systems |
Autore/i: | FANELLI, LUCA; P. Paruolo |
Autore/i Unibo: | |
Anno: | 2010 |
Rivista: | |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1016/j.jeconom.2010.03.020 |
Abstract: | This paper discusses summary measures for the speed of adjustment in possibly cointegrated Vector Autoregressive Processes (VAR). In particular we propose long-run half-lives, based on interim and total multipliers. We discuss their relation with Granger-noncausality and other types of half-life, which are shown to convey different information, except in the univariate AR(1) case. We present likelihood-based inference on long-run half-lives, regarded as discrete functions of parameters in the VAR model. It is shown how asymptotic confidence regions can be defined. An empirical illustration concerning speed of adjustment to purchasing-power parity is provided. |
Data prodotto definitivo in UGOV: | 2010-07-20 14:24:31 |
Appare nelle tipologie: | 1.01 Articolo in rivista |