Time Series: Cointegration

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 -