Cointegration Ideas Repec

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General contact details of provider: . All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:monebs:267380. See general information about how to correct material in RePEc. If you have authored this item and are not yet registered with RePEc, we encourage you to do it here.

This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about. We have no bibliographic references for this item. You can help adding them by using this form . If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: . All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:nc8191:285897. See general information about how to correct material in RePEc.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about. We have no bibliographic references for this item. You can help adding them by using this form . If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item.

If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation. For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: http://www.farmdoc.illinois.edu/nccc134/ . This article presents a survey of the analysis of cointegration using the vector autoregressive model. After a few illustrative economic examples, the three model based approaches to the analysis of cointegration are discussed.The vector autoregressive model is defined and the moving average representation of the solution, the Granger representation,... Next the interpretation of the model and its parameters and likelihood based inference follows using reduced rank regression.

The asymptotic analysis includes the distribution of the Gaussian maximum likelihood estimators, the rank test, and test for hypotheses on the cointegrating vectors. Finally, some applications and extensions of the basic model are mentioned and the survey concludes with some open problems. This is a preview of subscription content, log in via an institution to check access. Tax calculation will be finalised at checkout Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF. All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:monebs:267400. See general information about how to correct material in RePEc.

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