Modelling cointegration in the vector autoregressive model

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A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends are defined. The statistical model for cointegrated I(1) variables is defined, and it is shown how hypotheses on the cointegrating relations can be estimated under suitable identification conditions. The asymptotic theory is briefly mentioned and a few economic applications of the cointegration model are indicated.
OriginalsprogEngelsk
TidsskriftEconomic Modelling
Vol/bind17
Udgave nummer3
Sider (fra-til)359-373
Antal sider15
ISSN0264-9993
DOI
StatusUdgivet - 2000

ID: 9968785