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Cointegration: Overview and Development

  • Søren JohansenEmail author
Chapter

Abstract

This article presents a survey of the analysis of cointegration using the vector autoregressive model. After a few illustrative economic examples, the three model based approaches to the analysis of cointegration are discussed.The vector autoregressive model is defined and the moving average representation of the solution, the Granger representation, is given. Next the interpretation of the model and its parameters and likelihood based inference follows using reduced rank regression. The asymptotic analysis includes the distribution of the Gaussian maximum likelihood estimators, the rank test, and test for hypotheses on the cointegrating vectors. Finally, some applications and extensions of the basic model are mentioned and the survey concludes with some open problems.

Keywords

Unit Root Asymptotic Distribution Rational Expectation Vector Autoregressive Model Rank Regression 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.Department of Applied Mathematics and StatisticsUniversity of Copenhagen

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