Times Series: Cointegration
Copyright policy )Times Series: Cointegration
An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1), formulation of hypotheses of interest on the rank, the cointegrating relations and the adjustment coefficients. A discussion of the asymptotic distribution results that are used for inference. The results are illustrated by a few examples. A number of extensions of the theory are pointed out.
- University of Copenhagen Denmark
- University of Copenhagen Denmark
- Aarhus University Denmark
- Department of Economics University of Copenhagen Denmark
Faculty of Social Sciences, Cointegrated vector autoregressive model, Error correction models, cointegrated vector autoregressive model, /dk/atira/pure/core/keywords/FacultyOfSocialSciences, Dickey-Fuller distributions, mixed Gaussian distribution, Nonstationarity, error correction models, nonstationarity., cointegration, Cointegration, Mixed Gaussian distribution, econometric analysis of macroeconomic data, cointegrating relations, adjustment coefficients, cointegrating relations, cointegration, cointegrated vector autoregressive model, Dickey-Fuller distributions, error correction models, econometric analysis of macroeconomic data, likelihood inference, mixed Gaussian distribution, nonstationarity, likelihood inference, Likelihood inference, Adjustment coefficients, Cointegrating relations, Econometric analysis of macroeconomic data, jel: jel:C32
Faculty of Social Sciences, Cointegrated vector autoregressive model, Error correction models, cointegrated vector autoregressive model, /dk/atira/pure/core/keywords/FacultyOfSocialSciences, Dickey-Fuller distributions, mixed Gaussian distribution, Nonstationarity, error correction models, nonstationarity., cointegration, Cointegration, Mixed Gaussian distribution, econometric analysis of macroeconomic data, cointegrating relations, adjustment coefficients, cointegrating relations, cointegration, cointegrated vector autoregressive model, Dickey-Fuller distributions, error correction models, econometric analysis of macroeconomic data, likelihood inference, mixed Gaussian distribution, nonstationarity, likelihood inference, Likelihood inference, Adjustment coefficients, Cointegrating relations, Econometric analysis of macroeconomic data, jel: jel:C32
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