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Empirical Analysis: General Remarks

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

Abstract

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.

Keywords

Interest Rate Stock Market Central Bank Stock Prex Real Interest Rate 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Copyright information

© Springer-Verlag Berlin Heidelberg 2011

Authors and Affiliations

  1. 1.McKinsey and CompanyStuttgartGermany

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