Common Trend VAR with I(1) and I(2) Series

This paper presents a common trend VAR model, which allows us to estimate trend and cyclical components of output, inflation, and interest rate. From a theoretical perspective, we build upon the consumption Euler equation, which implies that there exists a cointegration relation between the output growth rate and the real interest rate, i.e., they are of the same order of integration. The analysis is performed on the US data ranging from 1960 (Q1) to 2022 (Q3)

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Year of publication:	[2023]
Authors:	Časta, Martin
Publisher:	[S.l.] : SSRN
Subject:	VAR-Modell \| VAR model \| Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory

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Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4441540 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014357137