Cointegration Analysis

Uwe Hassler

Chapter 16 in Stochastic Processes and Calculus, 2016, pp 353-382 from Springer

Abstract: Abstract This chapter is addressed to the analysis of cointegrated variables. Properties like superconsistency of the LS estimator and conditions for asymptotic normality are extensively discussed. Error-correction is the reverse of cointegration, which is why we provide an introduction to the analysis of error-correction models as well. In particular, we discuss cointegration testing. In 2003, Clive W.J. Granger was awarded the Nobel prize for introducing the concept of cointegration. Finally, we stress once more the effect of linear time trends underlying the series.

Keywords: Asymptotic Normality; Cointegration Vector; Linear Time Trend; KPSS Test; ARDL Model (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/978-3-319-23428-1_16

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