Does cointegration matter? An analysis in a RBC perspective

Bisio, Laura and Faccini, Andrea (2010) Does cointegration matter? An analysis in a RBC perspective. Working Paper. Dipartimento di Economia Pubblica, Roma.


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The aim of this paper is to verify if a proper SVEC representation of a standard Real Business Cycle model exists even when the capital stock series is omitted. The argument is relevant as the common unavailability of sufficiently long medium-frequency capital series prevent researchers from including capital in the widespread structural VAR (SVAR) representations of DSGE models - which is supposed to be the cause of the SVAR biased estimates. Indeed, a large debate about the truncation and small sample bias affecting the SVAR performance in approximating DSGE models has been recently rising. In our view, it might be the case of a smaller degree of estimates distorsions when the RBC dynamics is approximated through a SVEC model as the information provided by the cointegrating relations among some variables might compensate the exclusion of the capital stock series from the empirical representation of the model.

Item Type: Monograph (Working Paper)
Additional Information: JEL CLASSIFICATION: E27, E32, C32, C52
Uncontrolled Keywords: RBC, SVAR, SVEC model, cointegration
Subjects: 300 Scienze sociali > 330 Economia
Depositing User: Dipartimento economia e diritto
Date Deposited: 18 May 2010
Last Modified: 20 May 2010 12:03

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