Explaining Cointegration Analysis: Part II
David Hendry () and
The Energy Journal, 2001, vol. Volume22, issue Number 1, 75-120
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)
References: Add references at CitEc
Citations: View citations in EconPapers (112) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to IAEE members and subscribers.
Journal Article: Explaining Cointegration Analysis: Part 1 (2000)
Working Paper: Explaining Cointegration Analysis: Part II (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:aen:journl:2001v22-01-a04
Ordering information: This journal article can be ordered from
Access Statistics for this article
More articles in The Energy Journal from International Association for Energy Economics Contact information at EDIRC.
Bibliographic data for series maintained by David Williams ().