Explaining Cointegration Analysis: Part II

Katarina Juselius and David F. Hendry ()

No 00-20, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: We describe the concept of cointegration, its implications in modelling and forecasting, and discuss inference procedures appropriate in integrated-cointegrated vector autoregressive processes (VARs). Particular attention is paid to the properties of VARs, to the modelling of deterministic terms, and to the determination of the number of cointegration vectors. The analysis is illustrated by empirical examples.

Keywords: VAR; Deterministic Components; Rank Determination; Gasoline Prices (search for similar items in EconPapers)
JEL-codes: C32 C51 E31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2000-12
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Related works:
Journal Article: Explaining Cointegration Analysis: Part 1 (2000)
Journal Article: Explaining Cointegration Analysis: Part II (2001)
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Persistent link: http://EconPapers.repec.org/RePEc:kud:kuiedp:0020

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