Cointegration and Dynamic Time Series Models

Vito Muscatelli and Stan Hurn

Journal of Economic Surveys, 1992, vol. 6, issue 1, 1-43

Abstract: This paper provides a survey of some of the recent developments in the field of econometric modeling with cointegrated time series. In particular, they authors describe the testing and estimation procedures which have become increasingly popular in the recent applied literature. In addition to the "two-stage" procedure proposed by R. Engle and C. Granger, the authors consider extensions to the modeling of dynamic models with cointegrated variables, such as the estimation of models with multiple cointegration vectors, simultaneous systems, models with seasonally integrated and cointegrated variables. Furthermore, they illustrate the practical application of the techniques describes in the paper by means of a tutorial data set. Copyright 1992 by Blackwell Publishers Ltd

Date: 1992
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