期刊名称：Quantitative and Qualitative Analysis in Social Sciences
印刷版ISSN：1752-8925
出版年度：2009
卷号：3
期号：3
页码：43-77
出版社：Quantitative and Qualitative Analysis in Social Sciences
摘要：A family of cointegrated vector autoregressive models with adjusted short-rundynamicsisintroduced.These models can describe evolving short-run dynamics in a more .exible way than standard vectorautoregressions, and yet likeliho od analysis is based on reduced rank regression using conventionalasymptotic tables. The family of dynamics-adjusted vector autoregressions consists of three models: amodel sub ject to short-run parameter changes, a mo del with partial short-run dynamics and a mo delwith short-run explanatory variables. An empirical illustration using US gasoline prices is presented,together with some simulation experiments
关键词：Cointegration; adjusted short-run dynamics; parameter change; likelihood ratio test
