Jusélius, Katarina (contributor); … - 2005
Department of Economics and Department of
Mathematical Statistics
Abstract
The cointegrated VAR model is proposed as an … cointegrated VAR model not just provides more ef-
cient estimates of crucial parameters than conventional regression mod-
els, but … makes an important distinction between unan-
ticipated and anticipated shocks. In the VAR model, xt is the empirical …