Co-integration and Error Correction: Representation, Estimation, and Testing

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ID: 299471
1991
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Abstract
Abstract The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples. If each element of a vector of time series x,tfirst achieves stationarity after differencing, but a linear combination α ′x, is already stationary, the time series x,tare said to be co-integrated with co-integrating vector α. There may be several such co-integrating vectors so that α becomes a matrix. Interpreting α ′ x,t = 0 as a long run equilibrium, co-integration implies that deviations from equilibrium are stationary, with finite variance, even though the series themselves are nonstationary and have infinite variance.
Reference Key
openalex_W4388076604 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Robert F. Engle, Clive W. J. Granger
Journal Oxford University Press eBooks
Year 1991
DOI
10.1093/oso/9780198283393.003.0005
URL
https://doi.org/10.1093/oso/9780198283393.003.0005
Keywords Keywords not found

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