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Global and National Macroeconometric ModellingA Long-Run Structural Approach$
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Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

Print publication date: 2006

Print ISBN-13: 9780199296859

Published to Oxford Scholarship Online: September 2006

DOI: 10.1093/0199296855.001.0001

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Econometric methods: A review

Econometric methods: A review

Chapter:
(p.105) 6 Econometric methods: A review
Source:
Global and National Macroeconometric Modelling
Author(s):

Anthony Garratt (Contributor Webpage)

Kevin Lee (Contributor Webpage)

M. Hashem Pesaran (Contributor Webpage)

Yongcheol Shin (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0199296855.003.0006

This chapter briefly reviews the econometric methods needed for the empirical analysis of cointegrating VAR models and the associated impulse response functions, including new materials (on the conditions under which error-correction models are mean-reverting, for example) that are particularly useful in practical macroeconometric modelling.

Keywords:   VARX, augmented VAR, cointegration, error-correction models, impulse response, persistence profiles, small sample

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