Time Series: Cointegration
Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Communication
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Time Series : Cointegration. / Johansen, Søren.
International Encyclopedia of the Social & Behavioral Sciences. ed. / James D. Wright. Vol. 24 Oxford : Elsevier, 2015. p. 322-330.Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Communication
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TY - ENCYC
T1 - Time Series
T2 - Cointegration
AU - Johansen, Søren
PY - 2015
Y1 - 2015
N2 - An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1), formulation of hypotheses of interest on the rank, the cointegrating relations and the adjustment coefficients. A discussion of the asymptotic distribution results that are used for inference. The results are illustrated by a few examples. A number of extensions of the theory are pointed out.
AB - An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1), formulation of hypotheses of interest on the rank, the cointegrating relations and the adjustment coefficients. A discussion of the asymptotic distribution results that are used for inference. The results are illustrated by a few examples. A number of extensions of the theory are pointed out.
KW - Faculty of Social Sciences
KW - cointegrating relations, cointegration, cointegrated vector autoregressive model, Dickey-Fuller distributions, error correction models, econometric analysis of macroeconomic data, likelihood inference, mixed Gaussian distribution, nonstationarity.
M3 - Encyclopedia chapter
SN - 9780080970868
VL - 24
SP - 322
EP - 330
BT - International Encyclopedia of the Social & Behavioral Sciences
A2 - Wright, James D.
PB - Elsevier
CY - Oxford
ER -
ID: 135684344