Explaining Cointegration Analysis: Part II
- 1 January 2001
- journal article
- Published by SAGE Publications in The Energy Journal
- Vol. 22 (1) , 75-120
- https://doi.org/10.5547/issn0195-6574-ej-vol22-no1-4
Abstract
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.All Related Versions
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