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The Cointegrated VAR Methodology  

Katarina Juselius

The cointegrated VAR approach combines differences of variables with cointegration among them and by doing so allows the user to study both long-run and short-run effects in the same ... More

Financial Frictions in Macroeconomic Models  

Alfred Duncan and Charles Nolan

In recent decades, macroeconomic researchers have looked to incorporate financial intermediaries explicitly into business-cycle models. These modeling developments have helped us to ... More

Nonlinear Models in Macroeconometrics  

Timo Teräsvirta

Many nonlinear time series models have been around for a long time and have originated outside of time series econometrics. The stochastic models popular univariate, dynamic ... More

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