Explaining Cointegration Analysis: Part II

David Hendry and Katarina Juselius

The Energy Journal, 2001, vol. Volume22, issue Number 1, 75-120

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.

JEL-codes: F0 (search for similar items in EconPapers)
Date: 2001
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Related works:
Journal Article: Explaining Cointegration Analysis: Part II (2001)
Journal Article: Explaining Cointegration Analysis: Part 1 (2000)
Journal Article: Explaining Cointegration Analysis: Part 1 (2000)
Working Paper: Explaining Cointegration Analysis: Part II (2000)
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