Department of Economics and Business Economics

Times Series: Cointegration

Research output: Working paper/Preprint Working paperResearch


  • rp14_38

    Submitted manuscript, 377 KB, PDF document

An overvies 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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages18
Publication statusPublished - 27 Oct 2014
SeriesCREATES Research Papers

    Research areas

  • Adjustment coefficients, Cointegrating relations, Cointegration, Cointegrated vector autoregressive model, Dickey-Fuller distributions, Error correction models, Econometric analysis of macroeconomic data, Likelihood inference, Mixed Gaussian distribution, Nonstationarity

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