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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Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number
00-20.
Length: 33 pages Date of creation: Dec 2000 Date of revision: Handle: RePEc:kud:kuiedp:0020
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