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Explaining Cointegration Analysis: Part II

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Author Info

  • Katarina Juselius

    (University of Copenhagen, Institute of Economics)

  • David F. Hendry

    (Oxford University)

Abstract

We 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.

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File URL: http://www.econ.ku.dk/english/research/publications/wp/2000/0020.pdf/
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Bibliographic Info

Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 00-20.

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Length: 33 pages
Date of creation: Dec 2000
Date of revision:
Handle: RePEc:kud:kuiedp:0020

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Keywords: VAR; Deterministic Components; Rank Determination; Gasoline Prices;

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