Modelling of cointegration in the vector autoregressive model

A survey is given of some results obtained for the cointegrated VAR. The Gr anger representation theorem is discussed and the notions of cointegration and common trends are defined. The statistical model for cointegrated I(1) variables is defined, and it is shown how hypotheses on the cointegrating r elations can be estimated under suitable identification conditions. The asy mptotic theory is briefly mentioned and a few economic applications of the cointegration model are indicated. (C) 2000 Elsevier Science B.V. All right s reserved.