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
The thesis deals with the concept of cointegration of time series and related error correction model...
Vita.Since Engle and Granger (1987) first introduced the concept of cointegration, researchers have ...
'Classical' econometric theory assumes that observed data come from a stationary process, where mean...
We describe the concept of cointegration, its implications in modelling and forecasting, and discuss...
Abstract We describe the concept of cointegration, its implications in modelling and forecasting, an...
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...
The thesis deals with the concept of cointegration which represents appropriate tool in the analysis...
This survey uses a number of recent developments in the analysis of cointegrating Vector Autoregress...
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 ...
Intercept and deterministic trend functions are known to have a substantial e ect on cointegration ...
abstract: this paper investigates the forecasting performance of cointegrated systems by simulation....
The thesis deals with the concept of cointegration of time series and related error correction model...
Vita.Since Engle and Granger (1987) first introduced the concept of cointegration, researchers have ...
'Classical' econometric theory assumes that observed data come from a stationary process, where mean...
We describe the concept of cointegration, its implications in modelling and forecasting, and discuss...
Abstract We describe the concept of cointegration, its implications in modelling and forecasting, an...
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...
The thesis deals with the concept of cointegration which represents appropriate tool in the analysis...
This survey uses a number of recent developments in the analysis of cointegrating Vector Autoregress...
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 ...
Intercept and deterministic trend functions are known to have a substantial e ect on cointegration ...
abstract: this paper investigates the forecasting performance of cointegrated systems by simulation....
The thesis deals with the concept of cointegration of time series and related error correction model...
Vita.Since Engle and Granger (1987) first introduced the concept of cointegration, researchers have ...
'Classical' econometric theory assumes that observed data come from a stationary process, where mean...