![]() To my understanding, you can find MATLAB code in the GVAR toolbox, and this should give an indication of what's required for the Pesaran approach. Juselius' approach has also been programmed and is available in the RATS (CATS) software. Pesaran's approach has been programmed and is available in the Microfit software. Again, Juselius propounds an economic approach to cointegration as opposed to the statistical approach by Johansen (and others like Phillips). In the same school of thought is the cointegrated VAR approach associated with Juselius (2006). The sequencing is slightly different to Johansen since economic theory is given priority. The distinguishing feature is that the cointegrated models are estimated using reduced-rank regression and (over-)identifying restrictions are derived from economic a priori then tested. (2012).Īlthough referred to as the long-run structural modelling approach, you will also read about the type of models associated with the methodology, which are called VARX* models. The methodology is also presented to a wider audience in Garratt et al. ![]() ![]() The main formal reference is Pesaran and Shin (2002). I think the main alternative to the Johansen (statistical) approach is the methodology propounded by Pesaran and Shin in their so-called long-run structural modelling (economic) approach.
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