Année
2026
Abstract
This paper explores control theory and stabilisation policy within the framework of a cointegrated vector autoregressive (VAR) model from the perspective of an econometrician concerned with inference and identification. We demonstrate that a new process derived from control theory should be treated as a series of observables rather than as a latent series. This process can be viewed as being driven by a vector autoregressive moving-average (VARMA) model, which can, in turn, be interpreted within the framework of structural vector equilibrium correction. We also introduce a data-driven procedure for classifying intermediate and final policy targets within the model. The practicality and effectiveness of this procedure are demonstrated through a counterfactual policy analysis based on observations of the new process simulated from actual New Zealand monetary policy data.
CHEVILLON, G. et KURITA, T. (2026). Towards empirical assessments of controlled cointegrated models. Oxford Bulletin of Economics and Statistics, In press.