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 |
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Institute of Economics (University of Copenhagen)
2000
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| _version_ | 1826296249135923200 |
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| author | Hendry, D Juselius, K |
| author_facet | Hendry, D Juselius, K |
| author_sort | Hendry, D |
| collection | OXFORD |
| description | 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, and to the determination of the number of cointegration vectors. The analysis is illustrated by empirical examples. |
| first_indexed | 2024-03-07T04:13:25Z |
| format | Working paper |
| id | oxford-uuid:c896ffc4-4c90-45fc-9b0b-beeef6f2db83 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T04:13:25Z |
| publishDate | 2000 |
| publisher | Institute of Economics (University of Copenhagen) |
| record_format | dspace |
| spelling | oxford-uuid:c896ffc4-4c90-45fc-9b0b-beeef6f2db832022-03-27T06:53:15ZExplaining Cointegration Analysis: Part II.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:c896ffc4-4c90-45fc-9b0b-beeef6f2db83EnglishDepartment of Economics - ePrintsInstitute of Economics (University of Copenhagen)2000Hendry, DJuselius, KWe 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, and to the determination of the number of cointegration vectors. The analysis is illustrated by empirical examples. |
| spellingShingle | Hendry, D Juselius, K Explaining Cointegration Analysis: Part II. |
| title | Explaining Cointegration Analysis: Part II. |
| title_full | Explaining Cointegration Analysis: Part II. |
| title_fullStr | Explaining Cointegration Analysis: Part II. |
| title_full_unstemmed | Explaining Cointegration Analysis: Part II. |
| title_short | Explaining Cointegration Analysis: Part II. |
| title_sort | explaining cointegration analysis part ii |
| work_keys_str_mv | AT hendryd explainingcointegrationanalysispartii AT juseliusk explainingcointegrationanalysispartii |