A Primer on Cointegration with an Application to Money and Income

David Alan Dickey, Dennis W. Jansen, Daniel L. Thornton

1991-01-01article192 citationsgold

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Monetary Policy and Economic Impact Economic theories and models Diverse Scientific and Economic Studies

Abstract

David A. Dickey, Dennis W. Jansen and Daniel L. Thornton discuss the statistical or econometric concept of “cointegration.” The authors outline the relationship between cointegration and tests for cointegration and the concept of a unit root and tests for a unit root, widely used in univariate analyses, and provide a framework for relating the statistic concept to economic analysis.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root

1988Statistical analysis of cointegration vectors

1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY

1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root

1988The Dynamic Effects of Aggregate Demand and Supply Disturbances

1987Forecasting and testing in co-integrated systems

1986Alternative Explanations of the Money-Income Correlation

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