Cointegration in a macroeconomic system
宏观经济系统中的协整
Abstract This paper investigates the long‐run relationships within a set of six quarterly time‐series on the Austrian economy by means of cointegration. After analysing the univariate properties, especially with respect to the appropriate seasonal filter, the maximum‐likelihood method proposed by Johansen (1988) is applied to estimate and test the cointegrating relationships. We found three such relations, implying that the system is driven by three independent stochastic…