Times Series: Cointegration

17 Pages Posted: 24 Oct 2014

See all articles by Soren Johansen

Soren Johansen

University of Copenhagen - Department of Economics; Aarhus University - CREATES

Date Written: October 21, 2014

Abstract

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

Johansen, Soren, Times Series: Cointegration (October 21, 2014). Available at SSRN: https://ssrn.com/abstract=2514188 or http://dx.doi.org/10.2139/ssrn.2514188

Soren Johansen (Contact Author)

University of Copenhagen - Department of Economics ( email )

Ă˜ster Farimagsgade 5
Bygning 26
1353 Copenhagen K.
Denmark

Aarhus University - CREATES ( email )

Nordre Ringgade 1
Aarhus, DK-8000
Denmark

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