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HAAVELMO’S PROBABILITY APPROACH AND THE COINTEGRATED VAR

Published online by Cambridge University Press:  08 July 2014

Katarina Juselius
Katarina Juselius*
Affiliation:
University of Copenhagen
*
*Address correspondence to Katarina Juselius, Department of Economics, University of Copenhagen, ∅ster Farimasgade 5, 1353 Copenhagen K, Denmark; e-mail: Katarina.Juselius@econ.ku.dk.
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Abstract

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Some key econometric concepts and problems of great importance to Trygve Haavelmo and Ragnar Frisch are discussed within the general framework of a cointegrated VAR. The focus is on problems typical of time-series data such as multicollinearity, spurious correlation and regression, time dependent residuals, model selection, missing simultaneity, autonomy, and identification. The paper argues that the more recent development of unit root econometrics has been instrumental for a solution to the above problems.

Information

Type
ARTICLES
Information
Econometric Theory , Volume 31 , Issue 2: Haavelmo Memorial Issue: Part Two , April 2015, pp. 213 - 232
Copyright
Copyright © Cambridge University Press 2014 

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