Estimating and restricting growth rates and cointegrationmeans : with applications to consumption and money demand
Working paper
Åpne
Permanent lenke
http://hdl.handle.net/11250/180463Utgivelsesdato
2001Metadata
Vis full innførselSamlinger
- Discussion Papers [1002]
Sammendrag
Abstract:
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 and restricted. The latter can be achieved by using a linear switching algorithm. Consumption and money demand applications illustrate the method.
Keywords: Johansen procedure, cointegrated VAR, growth rates, cointegration means, linear switching algorithm, consumption, money demand, savings ratio.
Utgiver
Statistics Norway, Research DepartmentSerie
Discussion Papers;No. 309Beslektede innførsler
Viser innførsler beslektet ved tittel, forfatter og emneord.
-
The impacts of alternative policy instruments on environmental performance. A firm level study of temporary and persistent effects
Bye, Brita; Klemetsen, Marit Elisabeth (Discussion papers;788, Working paper, 2014-10)We study the effects of various environmental regulations on environmental performance measured as emission intensity. Moreover, we aim to test whether any such effects are persistent or only temporary. Conventional theory ... -
The welfare effects of carbon policies: grandfathered quotas versus differentiated taxes
Bye, Brita; Nyborg, Karine (Discussion Papers;No. 261, Working paper, 1999)Recently, it has been demonstrated that pre-existing distortionary taxes can substantially increase the costs of market-based instruments which do not raise revenue, such as non-auctioned emissions quotas. Revenue-raising ... -
Labour market rigidities and environmental tax reforms : welfare effects of different regimes
Bye, Brita (Discussion Papers;No. 242, Working paper, 1998)The working of the labour market is important for the total welfare effects of tax reforms. This paper analyses, by using a computable general equilibrium model for the Norwegian economy, how different assumptions about ...