Time Series: Cointegration

Publikation: Bidrag til bog/antologi/rapportEncyclopædiartikelFormidling

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.
OriginalsprogEngelsk
TitelInternational Encyclopedia of the Social & Behavioral Sciences
RedaktørerJames D. Wright
Antal sider9
Vol/bind24
Udgivelses stedOxford
ForlagElsevier
Publikationsdato2015
Sider322-330
ISBN (Trykt)9780080970868
ISBN (Elektronisk)978-0-08-097087-5
StatusUdgivet - 2015

    Forskningsområder

  • Det Samfundsvidenskabelige Fakultet - cointegrating relations, cointegration, cointegrated vector autoregressive model, Dickey-Fuller distributions, error correction models, econometric analysis of macroeconomic data, likelihood inference, mixed Gaussian distribution, nonstationarity.

ID: 135684344