Modelling of Cointegration in the Vector Autoregressive Model
Economic Modelling, 2000, 17, 3, 359-373
JOHANSEN, Soren, Modelling of Cointegration in the Vector Autoregressive Model, Economic Modelling, 2000, 17, 3, 359-373 - https://hdl.handle.net/1814/16767
Retrieved from Cadmus, EUI Research Repository
A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends are defined. The statistical model for cointegrated I(1) variables is defined, and it is shown how hypotheses on the cointegrating relations can be estimated under suitable identification conditions. The asymptotic theory is briefly mentioned and a few economic applications of the cointegration model are indicated.
Cadmus permanent link: https://hdl.handle.net/1814/16767
Full-text via DOI: 10.1016/S0264-9993(99)00043-7
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