{"title":"部分观测CVAR(1)模型无限阶CVAR表示中的协整与平差","authors":"S. Johansen","doi":"10.2139/ssrn.3180010","DOIUrl":null,"url":null,"abstract":"A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity of the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by a few simple examples of relevance for modelling causal graphs.","PeriodicalId":273058,"journal":{"name":"ERN: Model Construction & Estimation (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models\",\"authors\":\"S. Johansen\",\"doi\":\"10.2139/ssrn.3180010\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity of the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by a few simple examples of relevance for modelling causal graphs.\",\"PeriodicalId\":273058,\"journal\":{\"name\":\"ERN: Model Construction & Estimation (Topic)\",\"volume\":\"7 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2018-05-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Model Construction & Estimation (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3180010\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Model Construction & Estimation (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3180010","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models
A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity of the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by a few simple examples of relevance for modelling causal graphs.
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