Times Series: Cointegration

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: 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.

Keywords: 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 (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 16
Date: 2014-10-21
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://repec.econ.au.dk/repec/creates/rp/14/rp14_38.pdf (application/pdf)

Related works:
Working Paper: Times Series: Cointegration (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2014-38

Access Statistics for this paper

More papers in CREATES Research Papers from Department of Economics and Business Economics, Aarhus University
Bibliographic data for series maintained by ().