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1992 | OriginalPaper | Chapter

Prediction in Cointegrated Systems

Authors : Dr. Javier Gardeazabal, Dr. Marta Regúlez

Published in: The Monetary Model of Exchange Rates and Cointegration

Publisher: Springer Berlin Heidelberg

Included in: Professional Book Archive

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A wide range of macroeconomic magnitudes can be characterized “as non-stationary processes that have no tendency to return to a deterministic path”. This was reported by Nelson and Plosser (1982), but there is still a controversy about whether the nonstationarity of those variables can be captured by a deterministic or stochastic trend.

previous chapter Estimation of The Time Series Model
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Metadata
Title
Prediction in Cointegrated Systems
Authors
Dr. Javier Gardeazabal
Dr. Marta Regúlez
Copyright Year
1992
Publisher
Springer Berlin Heidelberg
Book
The Monetary Model of Exchange Rates and Cointegration

Print ISBN: 978-3-540-55635-0

Electronic ISBN: 978-3-642-48858-0

Copyright Year: 1992

DOI
https://doi.org/10.1007/978-3-642-48858-0_8