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Cointegration

In: Introduction to Modern Time Series Analysis

Author

Listed:
  • Gebhard Kirchgässner

    (University of St. Gallen)

  • Jürgen Wolters

    (FU Berlin)

  • Uwe Hassler

    (Goethe University Frankfurt)

Abstract

In the preceding chapter, we used stochastic trends to model nonstationary behaviour of time series, i.e. the variance of the data generating process increases over time, the series exhibits persistent behaviour and its first difference is stationary. For many economic time series, such a data generating process is a sufficient approximation, so that, in the following, we only consider processes which are integrated of order one (I(1)).

Suggested Citation

  • Gebhard Kirchgässner & Jürgen Wolters & Uwe Hassler, 2013. "Cointegration," Springer Texts in Business and Economics, in: Introduction to Modern Time Series Analysis, edition 2, chapter 6, pages 205-249, Springer.
    • Handle: RePEc:spr:sptchp:978-3-642-33436-8_6
    DOI: 10.1007/978-3-642-33436-8_6
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