Macroeconomic model reference

VECM Model

Vector error-correction model -- for cointegrated macro series where long-run equilibrium relationships pull the system back.

Empirical forecasting models · Sources

VECM sources, papers, and evidence trail

Primary papers, model variants, source notes, and review signals behind the VECM page.

Reference material used for orientation; read primary and academic sources first when claims conflict.

[S1] Reference
Engle and Granger (1987) 'Co-integration and Error Correction: Representation, Estimation, and Testing': established the two-step estimation method and the Granger representation theorem linking cointegration to error correction.
Reference
[S2] Reference
Johansen (1988, 1991): developed the full-information maximum likelihood estimator for the VECM, including the trace and maximum eigenvalue tests for the cointegrating rank.
Reference
[S3] Reference
King, Plosser, Stock, and Watson (1991) 'Stochastic Trends and Economic Fluctuations': used VECMs to decompose U.S. macro variables into permanent (common trend) and transitory components.
Reference
[S4] Reference
Gonzalo and Granger (1995) 'Estimation of Common Long-Memory Components in Cointegrated Systems': identified the common stochastic trends driving the system using the orthogonal complement of alpha.
Reference
[S5] Reference
Cavaliere, Rahbek, and Taylor (2012) 'Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models': developed wild bootstrap versions of the Johansen tests that are robust to non-constant volatility.
Reference

Open the concept, data series, policy setting, or neighboring model that anchors this page.

Data-Driven Models

References

Reference material used for orientation; read primary and academic sources first when claims conflict.

[S1] Reference
Engle and Granger (1987) 'Co-integration and Error Correction: Representation, Estimation, and Testing': established the two-step estimation method and the Granger representation theorem linking cointegration to error correction.
Reference
[S2] Reference
Johansen (1988, 1991): developed the full-information maximum likelihood estimator for the VECM, including the trace and maximum eigenvalue tests for the cointegrating rank.
Reference
[S3] Reference
King, Plosser, Stock, and Watson (1991) 'Stochastic Trends and Economic Fluctuations': used VECMs to decompose U.S. macro variables into permanent (common trend) and transitory components.
Reference
[S4] Reference
Gonzalo and Granger (1995) 'Estimation of Common Long-Memory Components in Cointegrated Systems': identified the common stochastic trends driving the system using the orthogonal complement of alpha.
Reference
[S5] Reference
Cavaliere, Rahbek, and Taylor (2012) 'Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models': developed wild bootstrap versions of the Johansen tests that are robust to non-constant volatility.
Reference