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:	2000-12
Authors:	Juselius, Katarina ; Hendry, David F.
Institutions:	Økonomisk Institut, Københavns Universitet
Subject:	VAR \| Deterministic Components \| Rank Determination \| Gasoline Prices

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 00-20 33 pages
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; E31 - Price Level; Inflation; Deflation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005749705