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EnglishThis 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 |
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http://hdl.handle.net/11585/90644
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