Modelling cointegration in the vector autoregressive model

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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.
Original languageEnglish
JournalEconomic Modelling
Volume17
Issue number3
Pages (from-to)359-373
Number of pages15
ISSN0264-9993
DOIs
Publication statusPublished - 2000

ID: 9968785