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Leitfaden zum Testen und Schätzen von Kointegration

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Arbeiten mit ökonometrischen Modellen

Part of the book series: Studies in Contemporary Economics ((CONTEMPORARY))

Zusammenfassung

Vor einem Dutzend Jahren begann die Publikation einer Reihe von Arbeiten, welche die Ö konometrie unter dem Stich wort „Kointegration“ von Grund auf revolutioniert haben, was das vorangestellte Zitat unterstreichen soll. Ein Grund, warum sich das Kointegrationskonzept erdrutschartig auf dem Gebiet der empirischen Wirtschaftsforschung durchsetzen konnte, ist, dass hier rein technische, statistisch-zeitreihenanaly tische Ansätze mit dem ökonomischen Gleichgewichtsgedanken in Verbindung gebracht wurden. Hinzu kam, dass Vorliegen von Kointegration unter bestimmten Annahmen eine Kleinst-Quadrate(OLS)-Regression von Einzelgleichungen rechtfertigt, so dass die neuen Methoden mit gängigen Programmpaketen umgesetzt werden können.

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Author information

Authors and Affiliations

  1. Statistik und Methoden der Ökonometrie, Johann Wolfgang Goethe Universität Frankfurt, Gräfstraße 78, D-60054, Frankfurt

    Uwe Hassler

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  1. Uwe Hassler
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Editor information

Editors and Affiliations

  1. Standort Essen Fachbereich Makroökonomik, Universität Duisburg-Essen, Universitatsstraße 12, 45117, Essen, Germany

    Werner Gaab

  2. Freie Universität Berlin Institut für Statistik und Ökonometrie, Boltzmannstraße 20, 14195, Berlin, Germany

    Jürgen Wolters

  3. Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Hohenzollernstraße 1-3, 45128, Essen, Germany

    Ullrich Heilemann

  4. Standort Duisburg Lehrgebiet Volkswirtschaftslehre insb. Empirische Wirtschaftsforschung, Universität Duisburg-Essen, Lotharstraße 56, 47057, Duisburg, Germany

    Ullrich Heilemann

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Hassler, U. (2004). Leitfaden zum Testen und Schätzen von Kointegration. In: Gaab, W., Wolters, J., Heilemann, U. (eds) Arbeiten mit ökonometrischen Modellen. Studies in Contemporary Economics. Physica, Heidelberg. https://doi.org/10.1007/978-3-7908-2652-4_4

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  • DOI: https://doi.org/10.1007/978-3-7908-2652-4_4

  • Publisher Name: Physica, Heidelberg

  • Print ISBN: 978-3-7908-0154-5

  • Online ISBN: 978-3-7908-2652-4

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