Impulse response analysis of cointegrated systems

【作者(必填)】Helmut Lütkepohl, Hans-Eggert Reimers∗

【文题(必填)】Impulse  response  analysis  of  cointegrated  systems

【年份(必填)】.Volume 16, Issue 1, January 1992, Pages 53-78 ,Journal of Economic Dynamics and Control



【全文链接或数据库名称(选填)】http://www.sciencedirect.com/science/article/pii/016518899290005Y

Impulse response analysis of cointegrated systems

Helmut Lütkepohl, Hans-Eggert Reimers∗

Christian-Albrechts-Universität Kiel, D-2300 Kiel, Germany

Available online 26 March 2002.


Abstract

Impulse response or dynamic multiplier analysis of vector autoregressive systems with cointegrated variables is considered. The asymptotic distribution of the responses estimated with Johansen's (1988) maximum likelihood procedure is derived. The results are illustrated with an analysis of a West German money demand system. The investigation shows that a direct interpretation of the cointegration relations may be difficult or misleading. Thereby the virtue of impulse response analysis for applied work is illustrated.

∗The authors are grateful to Søren Johansen, Katarina Juselius, and two anonymous referees for helpful comments on earlier versions of the paper which have led to substantial improvements. An earlier version of the paper entitled ‘Impulse Response Analysis of Cointegrated Systems with an Application to German Money Demand’ was presented at the 6th World Congress of the Econometric Society in Barcelona, 1990.




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