The Cointegrated VAR Model: Methodology and Applications

By K. Juselius. 2006

1,066 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c8d18900cfe6d94c99119928689c9f3b26c6f944

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Citations in the corpus

The Long-Run Dynamics between Direct and Securitized Real Estate (2011, methodology): “…corrected LR test reported in Johansen (2000).3 Furthermore, because of the possible structural break in the long-run dynamics due to the “new REIT era”, the stability of the estimated long-run relations is examined employing a recursive estimation analysis explained in Juselius (2006).”
Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices (2009, methodology): “Although the λtrace statistic clearly indicates that Π has a rank of eight, visual examination of the unrestricted cointegrating relationships suggests that the 8th cointegrating relationship is not stationary (Juselius, 2006), and so we repeat the exclusion tests in whichΠ is given a rank of seven.”
The impact of economic growth on CO2 emissions in Azerbaijan (2018, background): “12 Juselius (2006) discusses that one should take care of other variables along with a variable of interest since VAR is a system of variables.”
Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets (2017, background): “…these variables, it means that there is a stationary long-run equilibrium relationship between individual non-stationary variables and in cases where these diverge from this long-run equilibrium, at least one of the variables in the system returns to the long-run equilibrium level (Juselius 2006).”
Features for damage detection with insensitivity to environmental and operational variations (2012, background): “In these circumstances, an ECM can simply be viewed as a reformulation of a vector autoregressive (AR) model (Juselius 2006).”
Modelling and Measuring Price Discovery in Commodity Markets (2010, unknown): “The data is thus consistent with the work of Routledge et al. (2000) which shows that forward curves are upward sloping in the low demand state and slope downward in the high demand state.”
Are REITs Real Estate? Evidence from International Sector Level Data (2012, unknown): “2 As a diagnostic check, we also examine the stability of the potential long-term relations by the recursive and backwards recursive Max Test statistics (in the R-form) of constancy of the estimated long-run relation (Juselius, 2006).”
Self-reinforcing effects between housing prices and credit: an extended version (2013, methodology): “…I(1) cointegrated VAR (CVAR) model can be written as a re-parameterization of a V AR(p) model, see for example Johansen (1988), Johansen (1995) and Juselius (2006): ΔYt = ΠYt−1 + p−1∑ i=1 ΓiΔYt−1 +ΦDt + εt, t = 1, ....., T (6) Yt is a n×1 matrix comprising the endogenous variables in the system,…”
The Long-Run Impact of Foreign Aid in 36 African Countries: Insights from Multivariate Time Series Analysis (2014, unknown): “…suggests that empirically relevant economic models need to be formulated as dynamic adjustment models in growth rates and equilibrium errors, the so-called vector Error Correction Mechanism (ECM) models, which is another name for the CVAR models (see for example, Hendry (1995) and Juselius (2006)).”
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (2010, methodology): “For fixed b this LR statistic is denoted LR(b) = −2 logLR(Π = 0|b) and it is possible to consider a sup-type test, supb LR(b), where the supremum is taken either over stationary or non-stationary values of the index b, see Hansen (1996) for the general theory and Lasak (2010) for a cointegration tes”
Causality Between Energy and Output in the Long-Run (2013, unknown): “This is in contrast to the findings of Stern and Kander (2012) who estimate a static non-linear production function model.”
Inflation dynamics and food prices in Ethiopia (2013, background): “This seems to be the case in Kenya, Mali and Chad, as shown by Durevall and Ndung‘u (2001), Diouf (2007) and Kinda (2011), respectively.”
Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate (2010, methodology): “The possibility of an additive step effect has been tested and the effect removed prior to the VAR analysis using a procedure in Nielsen (2004). In addition, the unification is likely to have produced dynamic effects on prices, exchange rates and interest rates to be accounted for by breaks in the d”