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Cointegration Approach – Application Opportunities

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  • Nedialko Nestorov

Abstract

This study covers the main advantages of cointegration approach to study the relationship between the statistical time series. Considered are the basic procedures for testing the order of integration of processes and their cointegration. There is a study of software procedures of cointegration approach. It provides a summary of the development of the theory of cointegration and methods of testing and an experiment with empirical data to compare the results of the procedures with and without taking account of structural breaks in the data.

Suggested Citation

  • Nedialko Nestorov, 2015. "Cointegration Approach – Application Opportunities," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 110-140.
    • Handle: RePEc:bas:econst:y:2015:i:1:p:110-140
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    More about this item

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade

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