26 Macroeconometrics The cointegrated VAR methodology
Katarina Juselius
Introducing the cointegrated VAR (CVAR) method
A theory-based economic model is often taken to the data by adding a stochastic error to a mathematically well-defined model and then applying statistical methods to get estimates of its structural parameters. In contrast, a well-defined probability-based statistical model for the same data uses likelihood inference to answer the economic questions of interest. In the first case, statistics are used passively as a tool to get some desired estimates. In the second case, they are used actively as a means to analyse the underlying data-generating process. In the first case statistics is primarily ...
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