Modelling of cointegration in the vector autoregressive model
نویسنده
چکیده
A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends Ž . are defined. The statistical model for cointegrated I 1 variables is defined, and it is shown how hypotheses on the cointegrating relations can be estimated under suitable identification conditions. The asymptotic theory is briefly mentioned and a few economic applications of the cointegration model are indicated. Q 2000 Elsevier Science B.V. All rights reserved.
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