Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/247596 
Autor:innen: 
Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 9 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-27
Verlag: 
MDPI, Basel
Zusammenfassung: 
This survey paper discusses the Cointegrated Vector AutoRegressive (CVAR) methodology and how it has evolved over the past 30 years. It describes major steps in the econometric development, discusses problems to be solved when confronting theory with the data, and, as a solution, proposes a so-called theory-consistent CVAR scenario. A number of early CVAR applications are motivated by the urge to find out why the empirical results did not support Milton Friedman's concept of monetary inflation. The paper also proposes a method for combining partial CVAR analyses into a large-scale macroeconomic model. It argues that an empirically-based approach to macroeconomics preferably should be based on Keynesian disequilibrium economics, where imperfect knowledge expectations replace so called rational expectations and where the financial sector plays a key role for understanding the long persistent movements in the data. Finally, the paper argues that the CVAR is potentially a candidate for Haavelmo's "design of experiment for passive observations" and provides several illustrations.
Schlagwörter: 
cointegrated VAR
empirically-based macroeconomics
linking theory to evidence
methodology
JEL: 
B41
C32
C51
C52
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.