Explaining Cointegration Analysis: Part II

We describe the concept of cointegration, its implications in modelling and forecasting, and discuss inference procedures appropriate in integrated-cointegrated vector autoregressive processes (VARs). Particular attention is paid to the properties of VARs, to the modelling of deterministic terms, and to the determination of the number of cointegration vectors. The analysis is illustrated by empirical examples.

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Year of publication:	2001
Authors:	Hendry, David F. ; Juselius, Katarina
Published in:	The Energy Journal. - International Association for Energy Economics - IAEE, ISSN 0195-6574. - Vol. Volume22.2001, Number 1, p. 75-120
Publisher:	International Association for Energy Economics - IAEE

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Extent:	text/html
Type of publication:	Article
Classification:	F0 - International Economics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004986995