The concept of cointegration (see e.g., Engle and Granger, 1987; Johansen, 1988) has extensively been used to model … using U.S., Japanese, German and Swiss data. -- cointegration ; equilibrium adjustment ; forecasting ; rational expectations …

; I(2) cointegration ; multivariate time series analysis …

testing for Granger-causality and cointegration tests. This approach provides a measure for the strength (decisiveness) of … causality and cointegration between the variables of interest. As an illustration of our methodology, we reexamine the case of … bivariate relationship between money and income in Canada. -- Schwarz criterion ; Cointegration ; Granger-causality ; Posterior …