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2016 | OriginalPaper | Chapter

16. Cointegration Analysis

Author : Uwe Hassler

Published in: Stochastic Processes and Calculus

Publisher: Springer International Publishing

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Abstract

This chapter is addressed to the analysis of cointegrated variables. Properties like superconsistency of the LS estimator and conditions for asymptotic normality are extensively discussed. Error-correction is the reverse of cointegration, which is why we provide an introduction to the analysis of error-correction models as well. In particular, we discuss cointegration testing. In 2003, Clive W.J. Granger was awarded the Nobel prize for introducing the concept of cointegration. Finally, we stress once more the effect of linear time trends underlying the series.

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previous chapter Trends, Integration Tests and Nonsense Regressions
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Metadata
Title
Cointegration Analysis
Author
Uwe Hassler
Copyright Year
2016
Book
Stochastic Processes and Calculus

Print ISBN: 978-3-319-23427-4

Electronic ISBN: 978-3-319-23428-1

Copyright Year: 2016

DOI
https://doi.org/10.1007/978-3-319-23428-1_16

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