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Essays on Econometrics of Cointegration

Author

Listed:
  • Kauppi, H.

Abstract

Nonstationary time series arising from autoregressice models with roots on or near the unit circle have been an intensive subject of econometric reseach during the last twenty years. Heikki Kauppi's doctoral dissertation deals with several topics in the area of theoretical econometrics of integrated, near integrated, and cointegrated time series.

Suggested Citation

  • Kauppi, H., 1999. "Essays on Econometrics of Cointegration," University of Helsinki, Department of Economics 84, Department of Economics.
    • Handle: RePEc:fth:helsec:84
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    Cited by:

    1. Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.

    More about this item

    Keywords

    ECONOMETRICS ; TIME SERIES;

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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