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Cointegration Approach – Application Opportunities

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  • Nedialko Nestorov
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    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.

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    Article provided by Bulgarian Academy of Sciences - Economic Research Institute in its journal Economic Studies.

    Volume (Year): (2015)
    Issue (Month): 1 ()
    Pages: 110-140

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    Handle: RePEc:bas:econst:y:2015:i:1:p:110-140
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    1. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
    3. Hidetaka I. Ohara, 1999. "A Unit Root Test With Multiple Trend Breaks: A Theory and an Application to US and Japanese Macroeconomic Time-Series," The Japanese Economic Review, Japanese Economic Association, vol. 50(3), pages 266-290, 09.
    4. Saikkonen, Pentti & L tkepohl, Helmut, 2000. "Testing For The Cointegrating Rank Of A Var Process With An Intercept," Econometric Theory, Cambridge University Press, vol. 16(03), pages 373-406, June.
    5. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
    6. Christiano, Lawrence J, 1992. "Searching for a Break in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 237-250, July.
    7. Ketenci, Natalya, 2014. "The bilateral trade balance of the EU in the presence of structural breaks," MPRA Paper 54661, University Library of Munich, Germany.
    8. Lutkepohl, Helmut & Saikkonen, Pentti, 2000. "Testing for the cointegrating rank of a VAR process with a time trend," Journal of Econometrics, Elsevier, vol. 95(1), pages 177-198, March.
    9. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996. "Cointegration tests in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 70(1), pages 187-220, January.
    10. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    11. Charemza, Wojciech W. & Syczewska, Ewa M., 1998. "Joint application of the Dickey-Fuller and KPSS tests," Economics Letters, Elsevier, vol. 61(1), pages 17-21, October.
    12. Maki, Daiki, 2012. "Tests for cointegration allowing for an unknown number of breaks," Economic Modelling, Elsevier, vol. 29(5), pages 2011-2015.
    13. Nikolaos Dritsakis, 2012. "Structural Breaks, Cointegration and the Demand for Money in Greece," The IUP Journal of Applied Economics, IUP Publications, vol. 0(3), pages 5-21, July.
    14. Saikkonen, Pentti & Lutkepohl, Helmut, 2000. "Testing for the Cointegrating Rank of a VAR Process with Structural Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 451-464, October.
    15. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
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