identification of shocks by introducing the contemporaneous and permanent effect of a shock and the distinction between permanent and …

all basic assumptions underlying the theory model should be formulated as a set of testable hypotheses on the long …-run structure of a CVAR model, a so called 'theory consistent hypothetical scenario'. The advantage of such a scenario is that it … forces us to formulate all testable implications of the basic hypotheses underlying a theory model. We demonstrate that most …

all basic assumptions underlying the theory model should be formulated as a set of testable hypotheses on the long …-run structure of a CVAR model, a so called 'theory consistent hypothetical scenario'. The advantage of such a scenario is that if … forces us to formulate all testable implications of the basic hypotheses underlying a theory model. We demonstrate that most …

illustrated by a few examples. A number of extensions of the theory are pointed out …

estimating a VAR model in levels - thus ignoring uncertainty regarding the true (unknown) cointegration rank. While it is well … known that using a wrong cointegration rank leads to invalid (bootstrap) inference, we demonstrate that even if the rank is … the treatment of the cointegration rank, and show how formally accounting for rank uncertainty can affect the conclusions …