Mathematical and Statistical Modelling of Cointegration

Soren Johansen ()

Economics Working Papers from European University Institute

Abstract: A brief overview is given of some problems in econometric model building. We discuss, by example, the concept of a time series, a random walk, and integrated variable and the notion of cointegration and common trends.

Keywords: ECONOMETRICS; STATISTICS; MATHEMATICS (search for similar items in EconPapers)
JEL-codes: C5 C6 (search for similar items in EconPapers)
Date: 1997

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Persistent link: http://EconPapers.repec.org/RePEc:eui:euiwps:eco97/14

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