VAR modelling and Haavelmo's probability approach to macroeconomic modelling |
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| Authors: | Katarina Juselius |
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| Affiliation: | 1. Institute of Economics, University of Copenhagen, Studiestraede 6, 1455, Copenhagen K, Denmark
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| Abstract: | Some recent developments in the macroeconometric analysis of time series are discussed in the light of Haavelmo (1944). Experimental design in econometrics is discussed and related to the case of passive observation. The general ideas are illustrated with a analysis of the long-run and short-run structure in Danish monetary data.This paper has benefitted from useful comments from Søren Johansen, Claus Va strup and John Muellbauer, and in particular, from two unknown referees. Financial report from the joint committee of the Nordic Social Science Research Council is gratefully acknowledged. |
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| Keywords: | Haavelmo macroeconometric time-series modelling multivariate cointegration non-stationary time series |
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