Cointegration

Juan J. Dolado · Jesús Gonzalo · Francesc Mármol

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

Abstract

This chapter contains section titled: INTRODUCTION PRELIMINARIES: UNIT ROOTS AND COINTEGRATION SYSTEM-BASED APPROACHES TO COINTEGRATION FURTHER RESEARCH ON COINTEGRATION CONCLUDING REMARKS

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes 1982Trends and random walks in macroeconmic time series 1987Time Series Regression with a Unit Root 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

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