COINTEGRATION AND DYNAMIC TIME SERIES MODELS

Vito Antonio Muscatelli · Stan Hurn

145 citations0/0 files storedJournal of Economic Surveys

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

Abstract

ABSTRACT. This paper provides a survey of some of the recent developments in the field of econometric modelling with cointegrated time series. In particular, we describe the testing and estimation procedures which have become increasingly popular in the recent applied literature. In addition to the ‘two‐stage’ procedure proposed by Engle and Granger, we consider extensions to the modelling of dynamic models with cointegrated variables, such as the estimation of models with multiple cointegration vectors, simultaneous systems, models with seasonally integrated and cointegrated variables. Furthermore, we illustrate the practical application of the techniques describes in the paper by means of a tutorial data set.

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References

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