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Empirical Analysis: General Remarks

In: Money, Stock Prices and Central Banks

Author

Listed:
  • Marcel Wiedmann

    (McKinsey and Company)

Abstract

Since cointegration between non-stationary data series represents the statistical expression of the economic notion of a long-run economic relation, the objectives of this contribution are analyzed by applying the parametric approach of the CVAR model. The classification of the data generating process into stationary and non-stationary parts enables the distinction between long-run equilibria and short-run dynamic adjustment. In addition, common trends that push the variables and determine the long-run impact of shocks to the variables can be identified.

Suggested Citation

  • Marcel Wiedmann, 2011. "Empirical Analysis: General Remarks," Contributions to Economics, in: Money, Stock Prices and Central Banks, chapter 0, pages 55-73, Springer.
    • Handle: RePEc:spr:conchp:978-3-7908-2647-0_5
    DOI: 10.1007/978-3-7908-2647-0_5
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