Cointegration

Gebhard Kirchgässner and Juergen Wolters

Chapter 6 in Introduction to Modern Time Series Analysis, 2007, pp 199-239 from Springer

Abstract: Abstract In the preceding chapter, we used stochastic trends to model nonstationary behaviour of time series, i.e. the variance of the data generating process increases over time, the series exhibits persistent behaviour and its first difference is stationary. For many economic time series, such a data generating process is a sufficient approximation, so that in the following we only consider processes which are integrated of order one (I(1)).

Keywords: Granger Causality; Error Correction Model; Vector Error Correction Model; Stochastic Trend; Vector Autoregressive Model (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/978-3-540-73291-4_6

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