Journal article

Explaining Cointegration Analysis: Part II.

Abstract:: 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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APA Style

Hendry, D., & Juselius, K. (2001). Explaining Cointegration Analysis: Part II. Energy Journal, 22(1), 75–120.

MLA Style

Hendry, D., and K. Juselius. “Explaining Cointegration Analysis: Part II.” Energy Journal, vol. 22, no. 1, International Association for Energy Economics (IAEE), 2001, pp. 75–120.

Chicago Style

Hendry, D, and K Juselius. 2001. “Explaining Cointegration Analysis: Part II.” Energy Journal 22 (1): 75–120.
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Authors

+ Hendry, D More by this author

Role:: Author

+ Juselius, K More by this author

Role:: Author

Publisher:: International Association for Energy Economics (IAEE)
Journal:: Energy Journal More from this journal
Volume:: 22
Issue:: 1
Pages:: 75 - 120
Publication date:: 2001-01-01
ISSN:: 0195-6574

Language:: English
UUID:: uuid:a0655865-b6f0-4189-ad1a-0152d14e1585
Local pid:: oai:economics.ouls.ox.ac.uk:10658
Deposit date:: 2011-08-16

Terms of use

Copyright date:: 2001

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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