Editor:
Universidad Carlos III de Madrid. Departamento de Economía
Issued date:
1992-05
ISSN:
2340-5031
Serie/No.:
Working Papers 1992-38
Keywords:
The long-run in microeconomics
,
The long-run in macroeconomics
,
Cointegration
,
Approximating unit roots
,
Cointegration in nonlinear models
Rights:
Atribución-NoComercial-SinDerivadas 3.0 España
Abstract:
An attempt is made to link together earlier definitions of the long-run found in micro and
macro economics with recent developments in econometrics; specifically cointegration. It is
suggested that the links are not strong and that most of the previous work An attempt is made to link together earlier definitions of the long-run found in micro and
macro economics with recent developments in econometrics; specifically cointegration. It is
suggested that the links are not strong and that most of the previous work in econometric
theory has been unnecessarily over-precise. Unit root processes can be replaced by processes
that approximate them without loss of interpretation. The possibility of embedding
cointegration theory into a very general non linear theory is suggested. An example uses a
nonIinear relationship between UK short and long run interest rate proposed by Frank Paish.[+][-]