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
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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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