Cointegration Approach – Application Opportunities

Nedialko Nestorov

Economic Studies journal, 2015, issue 1, 110-140

Abstract: This study covers the main advantages of cointegration approach to study the relationship between the statistical time series. Considered are the basic procedures for testing the order of integration of processes and their cointegration. There is a study of software procedures of cointegration approach. It provides a summary of the development of the theory of cointegration and methods of testing and an experiment with empirical data to compare the results of the procedures with and without taking account of structural breaks in the data.

JEL-codes: C01 C51 F14 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:bas:econst:y:2015:i:1:p:110-140

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