TY - UNPB

T1 - Times Series

T2 - Cointegration

AU - Johansen, Søren

PY - 2014/10/27

Y1 - 2014/10/27

N2 - 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.

AB - 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.

KW - 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,

KW - Adjustment coefficients

KW - Cointegrating relations

KW - Cointegration

KW - Cointegrated vector autoregressive model

KW - Dickey-Fuller distributions

KW - Error correction models

KW - Econometric analysis of macroeconomic data

KW - Likelihood inference

KW - Mixed Gaussian distribution

KW - Nonstationarity

M3 - Working paper

T3 - CREATES Research Papers

BT - Times Series

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -