Cointegration and VECMs

John D. Levendis
Additional contact information
John D. Levendis: Loyola University New Orleans

Chapter Chapter 12 in Time Series Econometrics, 2023, pp 343-383 from Springer

Abstract: Abstract In this chapter we show how to model the long-run relationship between variables in their levels, even if they are integrated. This is possible if two or more variables are “cointegrated.” Two variables are cointegrated is the difference between them is stationary. Or, to put it loosely, they move in parallel. In this chapter we explore the concept of cointegration, error correction mechanisms, and some of the more popular tests of contegration.

Date: 2023
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-031-37310-7_12

Ordering information: This item can be ordered from
http://www.springer.com/9783031373107

DOI: 10.1007/978-3-031-37310-7_12

Access Statistics for this chapter

More chapters in Springer Texts in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().