Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models

9 Pages Posted: 29 May 2018

See all articles by Soren Johansen

Soren Johansen

University of Copenhagen - Department of Economics; Aarhus University - CREATES

Date Written: May 17, 2018

Abstract

A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity of the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by a few simple examples of relevance for modelling causal graphs.

Keywords: Adjustment coefficients, cointegrating coefficients, CVAR, causal models

JEL Classification: C32

Suggested Citation

Johansen, Soren, Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models (May 17, 2018). Available at SSRN: https://ssrn.com/abstract=3180010 or http://dx.doi.org/10.2139/ssrn.3180010

Soren Johansen (Contact Author)

University of Copenhagen - Department of Economics ( email )

Ă˜ster Farimagsgade 5
Bygning 26
1353 Copenhagen K.
Denmark

Aarhus University - CREATES ( email )

Nordre Ringgade 1
Aarhus, DK-8000
Denmark

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