Times Series: Cointegration
17 Pages Posted: 24 Oct 2014
Date Written: October 21, 2014
An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1), formulation of hypotheses of interest on the rank, the cointegrating relations and the adjustment coefficients. A discussion of the asymptotic distribution results that are used for inference. The results are illustrated by a few examples. A number of extensions of the theory are pointed out.
Keywords: adjustment coefficients, cointegrating relations, cointegration, cointegrated vector autoregressive model, Dickey-Fuller distributions, error correction models, econometric analysis of macroeconomic data, likelihood inference, mixed Gaussian distribution, nonstationarity
JEL Classification: C32
Suggested Citation: Suggested Citation