Identifying Steady State Relationships in a Multidirectional System: A Multivariate Cointegration Analysis

DOI

10.2991/jcis.2006.168How to use a DOI?

Keywords

Multidirectional relationships,cointegrated vectors, econometric tools

Abstract

This paper aims at identifying steady state relations (cointegrated relationships) in a system that contains multidirectional nexuses for a hypothetical economic structure. The study discusses various econometric tools needed to identify long run cointegration vectors and employs these tools to derive three such relationships. This study will be useful for a researcher to identify steady state relationships within a system of multidirectional relationships among financial markets or economic variables.

Copyright

© 2006, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Chandika Gunasinghe
PY  - 2006/10
DA  - 2006/10
TI  - Identifying Steady State Relationships in a Multidirectional System: A Multivariate Cointegration Analysis
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SP  - 625
EP  - 627
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.168
DO  - 10.2991/jcis.2006.168
ID  - Gunasinghe2006/10
ER  -