Influential observations in cointegrated VAR models: Danish money demand 1973–2003

摘要: Summary  This paper suggests a set of simple diagnostic tools for assessing the influence patch κ observations in cointegrated vector autoregressive model. The diagnostics are based on leave-κ-out principle (Bruce and Martin, 1989Journal Royal Statistical Society, Series B, 51, 363–424) is measured by likelihood displacement (Cook Weisberg, 1982Residuals Influence Regression. London: Chapman Hall). An application to Danish money demand 1973–2003 that real 1999 affected institutional factors related definition broad money, dynamic adjustment following international oil-price shock 1973 very influential long-run parameters.