Cointegration: Overview and Development

Søren Johansen ()
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Søren Johansen: University of Copenhagen, Department of Applied Mathematics and Statistics

Chapter 29 in Handbook of Financial Time Series, 2009, pp 671-693 from Springer

Abstract: Abstract This article presents a survey of the analysis of cointegration using the vector autoregressive model. After a few illustrative economic examples, the three model based approaches to the analysis of cointegration are discussed.The vector autoregressive model is defined and the moving average representation of the solution, the Granger representation, is given. Next the interpretation of the model and its parameters and likelihood based inference follows using reduced rank regression. The asymptotic analysis includes the distribution of the Gaussian maximum likelihood estimators, the rank test, and test for hypotheses on the cointegrating vectors. Finally, some applications and extensions of the basic model are mentioned and the survey concludes with some open problems.

Keywords: Unit Root; Asymptotic Distribution; Rational Expectation; Vector Autoregressive Model; Rank Regression (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-71297-8_29

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DOI: 10.1007/978-3-540-71297-8_29

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