Forme ridotte e modelli incompleti nell'analisi di cointegrazione: il caso del NAIRU

Abstract

This paper explores the problems arising when the reduced form cointegrating vectors are obtained from an incomplete VAR with omitted endogenous variables. It is shown that an incomplete VAR model, based on variables of the long-run reduced forms, produces an approximation of the cointegrating vectors coefficients and the misspecification of the short-run dynamics. It is also shown that this problems do not arise in certain circumstances. An example concerning the estimation of the NAIRU is provided suggesting the empirical relevance of our criticism.