Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/192291 
Year of Publication: 
2001
Series/Report no.: 
Discussion Papers No. 309
Publisher: 
Statistics Norway, Research Department, Oslo
Abstract: 
The parameters in the cointegration vector and the loading parameters are not the only interesting parameters in a vector cointegration model. With a reformulation of the model the intercept parameters can be decomposed into growth parameters and cointegration mean parameters. These parameters have economic interpretations and are therefore also important. We show how these parameters can be estimated and restricted. The latter can be achieved by using a linear switching algorithm. Consumption and money demand applications illustrate the method.
Subjects: 
Johansen procedure
cointegrated VAR
growth rates
cointegration means
linear switching algorithm
consumption
money demand
savings ratio.
JEL: 
C32
C51
C52
E21
E41
Document Type: 
Working Paper

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