Explaining cointegration analysis: Part II

Authors
Hendry, DF Juselius, K
Citation
Df. Hendry et K. Juselius, Explaining cointegration analysis: Part II, ENERGY J, 22(1), 2001, pp. 75-120
Citations number
42
Categorie Soggetti
Economics,"Environmental Engineering & Energy
Journal title
ENERGY JOURNAL
ISSN journal
01956574 → ACNP
Volume
22
Issue
1
Year of publication
2001
Pages
75 - 120
Database
ISI
SICI code
0195-6574(2001)22:1<75:ECAPI>2.0.ZU;2-B
Abstract
We describe the concept of cointegration, its implications in modelling and forecasting, and discuss inference procedures appropriate in integrated-co integrated vector autoregressive processes (VARs). Particular attention is paid to the properties of VARs, to the modelling of deterministic terms, an d to the determination of the number of cointegration vectors. The analysis is illustrated by empirical examples.