## Cointegration and Modelling the Long Run

*Simon Price*

### in Research Strategies in the Social Sciences: A Guide to New Approaches

- Published in print:
- 1998
- Published Online:
- November 2003
- ISBN:
- 9780198292371
- eISBN:
- 9780191600159
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198292376.003.0008
- Subject:
- Political Science, Reference

Extending the regression model to the analysis of non‐stationary, or trended, data. The examples demonstrate the application of unit root methodology, Engle‐Granger co‐integration procedures, and ... More

## Co‐Integration in Individual Equations

*Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry*

### in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

- Published in print:
- 1993
- Published Online:
- November 2003
- ISBN:
- 9780198288107
- eISBN:
- 9780191595899
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198288107.003.0007
- Subject:
- Economics and Finance, Econometrics

Examines methods of testing for co‐integration in single equations via static regressions, and provides simulation estimates of the percentiles of the distributions of statistics used in these tests. ... More

## Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

*Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David Hendry*

- Published in print:
- 1993
- Published Online:
- November 2003
- ISBN:
- 9780198288107
- eISBN:
- 9780191595899
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198288107.001.0001
- Subject:
- Economics and Finance, Econometrics

This book considers the econometric analysis of both stationary and non‐stationary processes, which may be linked by equilibrium relationships. It provides a wide‐ranging account of the main tools, ... More

## Time-Series-Based Econometrics: Unit Roots and Co-integrations

*Michio Hatanaka*

- Published in print:
- 1996
- Published Online:
- November 2003
- ISBN:
- 9780198773535
- eISBN:
- 9780191596360
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198773536.001.0001
- Subject:
- Economics and Finance, Econometrics

This book presents the most recent development in econometrics, namely the unit-root field including error correction and co-integration. It explains statistical procedures in detail, and emphasizes ... More

## Conceptual Framework of the Co‐Integration and Its Relation to Economic Theories

*Michio Hatanaka*

### in Time-Series-Based Econometrics: Unit Roots and Co-integrations

- Published in print:
- 1996
- Published Online:
- November 2003
- ISBN:
- 9780198773535
- eISBN:
- 9780191596360
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198773536.003.0012
- Subject:
- Economics and Finance, Econometrics

This chapter discusses co-integration and the Granger representation theorem. The theoretical structure of the Granger representation theorem is illustrated with economic interpretation by a ... More

## Asymptotic Inference Theories on Co‐Integrated Regressions *

*Michio Hatanaka*

### in Time-Series-Based Econometrics: Unit Roots and Co-integrations

- Published in print:
- 1996
- Published Online:
- November 2003
- ISBN:
- 9780198773535
- eISBN:
- 9780191596360
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198773536.003.0013
- Subject:
- Economics and Finance, Econometrics

This chapter analyses co-integrated regressions. It considers the cases where Δxt is i.i.d without a drift, Δxt is still i.i.d. but has a deterministic drift, and Δxt is serially correlated. It ... More

## Maximum‐Likelihood Inference Theory of Co‐Integrated VAR

*Michio Hatanaka*

### in Time-Series-Based Econometrics: Unit Roots and Co-integrations

- Published in print:
- 1996
- Published Online:
- November 2003
- ISBN:
- 9780198773535
- eISBN:
- 9780191596360
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198773536.003.0015
- Subject:
- Economics and Finance, Econometrics

This chapter examines inference procedures for the co-integration developed by Johansen (1988, 1991a, 1992b, 1992c, 1994) based on maximum-likelihood analysis of the VAR error-correction ... More

## Co‐Integration

*Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry*

### in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

- Published in print:
- 1993
- Published Online:
- November 2003
- ISBN:
- 9780198288107
- eISBN:
- 9780191595899
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198288107.003.0005
- Subject:
- Economics and Finance, Econometrics

The key concept of co‐integration of integrated time series is defined, and several examples are presented. An important theorem due to Granger on alternative representations of a system of ... More

## Regression With Integrated Variables

*Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry*

### in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

- Published in print:
- 1993
- Published Online:
- November 2003
- ISBN:
- 9780198288107
- eISBN:
- 9780191595899
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198288107.003.0006
- Subject:
- Economics and Finance, Econometrics

The chapter demonstrates the special problems with inference that arise, for example, in orthogonality tests for rational expectations, from the presence of integrated variables. Using results from ... More

## Co‐Integration in Systems of Equations

*Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry*

### in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

- Published in print:
- 1993
- Published Online:
- November 2003
- ISBN:
- 9780198288107
- eISBN:
- 9780191595899
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198288107.003.0008
- Subject:
- Economics and Finance, Econometrics

Co‐integration in systems of equations is analysed. Linear co‐integrated systems are expressed in error‐correction form and maximum likelihood estimation and inference for co‐integrating vectors are ... More