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Models and relations in economics and econometrics

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  • Katarina Juselius

Abstract

Based on a money market analysis using the cointegrated VAR model the paper demonstrates some possible pitfalls in macroeconomic inference as a direct consequence of inadequate stochastic model formulation. A number of questions related to concepts such as empirical and theoretical steady-states, speed of adjustment, feedback and interaction effects, and driving forces are addressed within the framework of the cointegrated VAR model. The interpretation and analysis of common driving trends are related to the notion of shocks or disturbances to a system, distinguishing between permanent and transitory, and anticipated and unanticipated effects.

Suggested Citation

  • Katarina Juselius, 1999. "Models and relations in economics and econometrics," Journal of Economic Methodology, Taylor & Francis Journals, vol. 6(2), pages 259-290.
    • Handle: RePEc:taf:jecmet:v:6:y:1999:i:2:p:259-290
    DOI: 10.1080/13501789900000017
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    References listed on IDEAS

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    1. Henrik Hansen & Anders Warne, 1995. "Common Trends Analysis of Danish Unemployment," Discussion Papers 95-03, University of Copenhagen. Department of Economics.
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    More about this item

    Keywords

    econometric methodology; macroeconomic inference; cointegrated VAR; monetary policy;
    All these keywords.

    JEL classification:

    • B4 - Schools of Economic Thought and Methodology - - Economic Methodology
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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