Explaining Cointegration Analysis: Part II.
We describe the concept of cointegration, its implications in modelling and forecasting, and discuss inference procedures appropriate in integrated-cointegrated vector autoregressive processes (VARs). Particular attention is paid to the properties of VARs, to the modelling of deterministic terms, an...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Institute of Economics (University of Copenhagen)
2000
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