Discussion Papers no. 309

With applications to consumption and money demand

Estimating and restricting growth rates and cointegration means

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Åpne og les publikasjonen i PDF (23 sider)

The parameters in the cointegration vector and the loading parameters are not the only interesting parameters in a vector cointegration model. With a reformulation of the model the intercept parameters can be decomposed into growth parameters and cointegration mean parameters. These parameters have economic interpretations and are therefore also important. We show how these parameters can be estimated

Om publikasjonen

Tittel

Estimating and restricting growth rates and cointegration means. With applications to consumption and money demand

Ansvarlig

Håvard Hungnes

Serie og -nummer

Discussion Papers no. 309

Utgiver

Statistics Norway, Research Department

Emne

Discussion Papers

Antall sider

23

Målform

Engelsk

Om Discussion Papers

Discussion papers comprise research papers intended for international journals and books. A preprint of a Discussion Paper may be longer and more elaborate than a standard journal article as it may include intermediate calculations, background material etc.

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