| PDF (313kB) |
- URN to cite this document:
- urn:nbn:de:bvb:355-epub-98527
- DOI to cite this document:
- 10.5283/epub.9852
Alternative links to fulltext:Repec
Abstract
We introduce the idea of common serial correlation features among non-stationary, cointegrated variables. That is, the time series do not only trend together in the long run, but adjustment restores equilibrium immediately in the period following a deviation. Allowing for delayed re-equilibration, we extend the framework to codependence. The restrictions derived for VECMs exhibiting the common ...
Owner only: item control page
Download Statistics