Add to ORKGWe describe the concept of cointegration, its implications in modelling and forecasting, and discuss inference procedures appropriate in integrated-cointegrated vector autoregressive processes (VARs). Particular attention is paid to the properties of VARs, to the modelling of deterministic terms, and to the determination of the number of cointegration vectors. The analysis is illustrated by empirical examples.
'Classical' econometric theory assumes that observed data come from a stationary process, where mean...
‘Classical ’ econometric theory assumes that observed data come from a stationary process, where mea...
‘Classical ’ econometric theory assumes that observed data come from a stationary process, where mea...
Abstract We describe the concept of cointegration, its implications in modelling and forecasting, an...
Abstract We describe the concept of cointegration, its implications in modelling and forecasting, an...
Abstract We describe the concept of cointegration, its implications in modelling and forecasting, an...
We describe the concept of cointegration, its implications in modelling and forecasting, and discuss...
A survey is given of some results obtained for the cointegrated VAR. The Granger representation theo...
A survey is given of some results obtained for the cointegrated VAR. The Granger representation theo...
In the thesis we consider inference for cointegration in vector autoregressive (VAR) models. The the...
An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegrat...
This survey uses a number of recent developments in the analysis of cointegrating Vector Autoregress...
The thesis deals with the concept of cointegration which represents appropriate tool in the analysis...
The Cointegrated VAR model allows the user to study both long-run and short-run effects in the same ...
We give a brief introduction to the vector autoregressive model for cointegrated I(2) variables and ...
'Classical' econometric theory assumes that observed data come from a stationary process, where mean...
‘Classical ’ econometric theory assumes that observed data come from a stationary process, where mea...
‘Classical ’ econometric theory assumes that observed data come from a stationary process, where mea...
Abstract We describe the concept of cointegration, its implications in modelling and forecasting, an...
Abstract We describe the concept of cointegration, its implications in modelling and forecasting, an...
Abstract We describe the concept of cointegration, its implications in modelling and forecasting, an...
We describe the concept of cointegration, its implications in modelling and forecasting, and discuss...
A survey is given of some results obtained for the cointegrated VAR. The Granger representation theo...
A survey is given of some results obtained for the cointegrated VAR. The Granger representation theo...
In the thesis we consider inference for cointegration in vector autoregressive (VAR) models. The the...
An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegrat...
This survey uses a number of recent developments in the analysis of cointegrating Vector Autoregress...
The thesis deals with the concept of cointegration which represents appropriate tool in the analysis...
The Cointegrated VAR model allows the user to study both long-run and short-run effects in the same ...
We give a brief introduction to the vector autoregressive model for cointegrated I(2) variables and ...
'Classical' econometric theory assumes that observed data come from a stationary process, where mean...
‘Classical ’ econometric theory assumes that observed data come from a stationary process, where mea...
‘Classical ’ econometric theory assumes that observed data come from a stationary process, where mea...