Working paper icon

Working paper

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.

Actions


Access Document


Files:
Publisher:
Institute of Economics (University of Copenhagen)
Series:
Discussion Papers
Publication date:
2000-01-01
Language:
English
UUID:
uuid:c896ffc4-4c90-45fc-9b0b-beeef6f2db83
Local pid:
oai:economics.ouls.ox.ac.uk:12103
Deposit date:
2011-08-16

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP