Empirical Analysis: General Remarks

  • Marcel Wiedmann
Part of the Contributions to Economics book series (CE)


Since cointegration between non-stationary data series represents the statistical expression of the economic notion of a long-run economic relation, the objectives of this contribution are analyzed by applying the parametric approach of the CVAR model. The classification of the data generating process into stationary and non-stationary parts enables the distinction between long-run equilibria and short-run dynamic adjustment. In addition, common trends that push the variables and determine the long-run impact of shocks to the variables can be identified.


Interest Rate Stock Market Central Bank Stock Prex Real Interest Rate 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2011

Authors and Affiliations

  1. 1.McKinsey and CompanyStuttgartGermany

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