Mathematical and Statistical Modelling of Cointegration

Soren Johansen

Economics Working Papers from European University Institute

Abstract: A brief overview is given of some problems in econometric model building. We discuss, by example, the concept of a time series, a random walk, and integrated variable and the notion of cointegration and common trends.

Keywords: ECONOMETRICS; STATISTICS; MATHEMATICS (search for similar items in EconPapers)
JEL-codes: C5 C6 (search for similar items in EconPapers)
Pages: 16 pages
Date: 1997
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eui:euiwps:eco97/14

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