Skip to main content
SpringerLink
Log in

VAR modelling and Haavelmo's probability approach to macroeconomic modelling

  • Modelling of Multivariate Economic Time Series
  • Published:
Empirical Economics Aims and scope Submit manuscript

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 is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  • Anderson TW (1991) Trygve Haavelmo and the simultaneous equation models. Scandinavian Journal of Statistics

  • Baba Y, Hendry DF, Starr RM (1992) The demand for M1 in the USA, 1960–1988. Review of Economic Studies 59:1, 25–61

    Google Scholar 

  • Baumol J (1952) The transactions demand for cash: An inventory theoretic approach. Quarterly Journal of Economics 66:545–556

    Google Scholar 

  • Brodin PA, Nymoen R (1991) Wealth effects and exogeneity: The norwegian consumption function 1966 (1)–1989 (4). Oxford Bulletin of Economics and Statistics 54, 3:431–454

    Google Scholar 

  • Bårdsen G (1992) Dynamic modelling of the demand for narrow money in Norway. Journal of Policy Modelling 14:363–393

    Google Scholar 

  • Bårdsen G, Klovland JT (1983) Finding a nominal indicator: The stability of cointegration between money, credit, and income in Norway. Discussion Paper, Norwegian School of Economics and Business Administration

  • Durevall D, Meuller L (1993) Money demand and transmission effects in Sweden. Discussion Paper, Department of Economics, University of Gothenburg

  • Engle RF, Granger CWJ (1987) Cointegration and error correction: Representation, estimation and testing. Econometrica 55:251–276

    Google Scholar 

  • Ericsson NR, Campos J, Tran H-A (1990) PC-GIVE and David Hendry's econometric methodology. Revista de Econometria 10, 1:7–117

    Google Scholar 

  • Ericsson NR, Hendry DF (1989) Encompassing and rational expectations: How sequential corroboration can imply refutation. International Finance Discussion Paper No 354, Board of Governors of the Federal Reserve System, Washington D.C

    Google Scholar 

  • Granger C. (1991) Developments in the nonlinear analysis of economic series. Scandinavian Journal of Economics 93, 2:129–148

    Google Scholar 

  • Haavelmo T (1944) The probability approach in econometrics. Econometrica 12 (supplement): 1–118

    Google Scholar 

  • Hansen H, Johansen S (1993) Recursive estimation in cointegrated Var-models. Discussion Paper, Institute of Mathematical Statistics, University of Copenhagen

  • Hendry DF (1979) Predictive failure and econometric modelling in macroeconomics: The Transactions Demand for Money, Chapter 9. In: Ormerod P (ed.) Modelling the Economy, London, Heinemann Education Books 217–242

    Google Scholar 

  • Hendry DF (1983) Econometric modelling: The ‘consumption function’ in retrospect. Scottish Journal of Political Economy 30, 3:193–220

    Google Scholar 

  • Hendry DF (1987) Econometric methodology: A personal perspective. Ch. 10 in Advances in Econometrics (ed) T Bewley (Econometric Society Fifth World Congress)

  • Hendry DF (1988a) The encompassing implications of feedback versus feedforward mechanisms in econometrics. Oxford Economic Papers 40:132–149

    Google Scholar 

  • Hendry DF, Mizon GE (1992) Evaluating econometric models by encompassing the VAR. In Models, Methods and Applications of Econometrics (Phillips PC Ed) Basil Blackwell

    Google Scholar 

  • Hendry DF, Richard J-F (1983) The econometric analysis of economic time series (with discussion). International Statistical Review 51:111–163

    Google Scholar 

  • Hendry DF, Spanos A, Ericsson NR (1989) The contributions to econometric in trygve haavelmo's: the probability approach in econometrics. Socialϕkonomen 43 11:12–17

    Google Scholar 

  • Johansen S (1988) Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12:231–254

    Google Scholar 

  • Johansen S (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59:1551–1580

    Google Scholar 

  • Johansen S (1993) Identifying restrictions in linear equations. Forthcoming in the Journal of Econometrics

  • Johansen S, Juselius K (1990) Maximum likelihood estimation and inference on cointegration — with applications to the demand for money. Oxford Bulletin of Economics and Statistics 52, 2:169–210

    Google Scholar 

  • Johansen S, Juselius K (1992) Structural tests in a multivariate cointegration analysis of the PPP and UIP for UK. Journal of Econometrics 53:211–244

    Google Scholar 

  • Johansen S, Juselius K (1993) Identification of the long-run and the short-run structure. Forthcoming in the Journal of Econometrics

  • Juselius K (1991) CATS in RATS. A manual to Cointegration Analysis. Institute of Economics, University of Copenhagen

  • Juselius K (1992) Domestic and foreign effects on prices in an open economy. Journal of Policy Modeling

  • Juselius K (1993a) On the duality between long-run relations and common trends in theI(1) versus theI(2) model. An Application to Aggregate Money holdings. Forthcoming in Econometric Reviews

  • Juselius K (1993b) Do the purchasing power parity and the uncovered interest rate parity hold in the long run? — An example of likelihood inference in a multivariate time-series model. Forthcoming in the Journal of Econometrics

  • Juselius K, Hargreaves C (1992) Long-run relations in Australian monetary data. In: Hargreaves (ed) Modelling the Long Run. Edward Elgar

  • Kongsted HC (1993) Exogeneity and long-run parameter constancy in a cointegrated VAR model of manufactured exports. Discussion Paper, University of Copenhagen

  • LaCour L (1993) Divisia monetary aggregates for Denmark: Theory, construction and empirical performance. PhD. thesis, Economics Department, University of Copenhagen

  • Mellander E, Vredin A, Warne A (1993) Stochastic trends and economic fluctuations in small open economies. Journal of Applied Econometrics 7:369–394

    Google Scholar 

  • Ripatti A (1992) Econometric modelling of the demand for money in Finland. Licenciate thesis, University of Helsinki

  • Stock JH, Watson MW (1988) Testing for common trends. Journal of the American Statistical Association 83:1097–1107

    Google Scholar 

  • Summers LH (1991) The scientific illusion in empirical macroeconomics. Scandinavian Journal of Economics 93, 2:129–148

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Institute of Economics, University of Copenhagen, Studiestraede 6, 1455, Copenhagen K, Denmark

    Katarina Juselius

Authors
  1. Katarina Juselius
    View author publications

    You can also search for this author in PubMed Google Scholar

Additional information

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.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Juselius, K. VAR modelling and Haavelmo's probability approach to macroeconomic modelling. Empirical Economics 18, 595–622 (1993). https://doi.org/10.1007/BF01205413

Download citation

  • Issue Date:

  • DOI: https://doi.org/10.1007/BF01205413

Key Words

JEL Classification System-Number

Search

Navigation