The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Cointegration

  • Mark W. Watson
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2219

Abstract

This article summarizes the mathematical structure of cointegrated time series models and discusses econometric procedures commonly used to analyse cointegrated time series. This discussion is carried out in the context of stochastic trends that follow driftless I(1) or ‘unit root’ processes. The article concludes with a brief discussion of cointegration in the context of more general stochastic trends.

Keywords

Beveridge–Nelson decomposition Cointegration Dickey–Fuller unit root tests Error-correction terms Granger, C.W.J. Heteroskedasticity and autocorrelation corrections Maximum likelihood Trend/cycle decomposition Unit roots Variance Vector autoregressions Vector error correction model Vector moving average models 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Mark W. Watson
    • 1
  1. 1.