Modelling of Economic Time Series and the Method of Cointegration
DOI:
https://doi.org/10.17713/ajs.v35i2&3.377Abstract
The article is focused on the problem of modelling multidimensional non-stationary cointegrated processes. It is a modern method especially used for the description of multidimensional economic time series. The multidimensional process Yt is called cointegrated with the cointegrating vector ?, if the process ?´Yt is stationary or trend-stationary. For instance this property can be found in some series of economic indices which are predominantly non-stationary. Methods connected with estimates of cointegratingvectors and with a cointegration testing are applied to economic data. All the methods given were programmed in the computing environment MATLAB.
References
Banerjee, A., Dolado, J. J., Galbraith, J. W., and Hendry, D. F. (1993). Co-integration, error-correction and the econometric analysis of non-stationary data (1st ed.). Oxford: Oxford University Press.
Engle, R. F., and Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55, 251-276.
Hamilton, J. D. (1994). Time series analysis (1st ed.). Princeton: Princeton University Press.
Johansen, S. (1995). Likelihood-based inference in cointegrated vector auto-regressive models (1st ed.). Oxford: Oxford University Press.
Neubauer, J. (2004). Method of cointegration and exchange rates. Summer School Datastat03, Proceedings, Folia Fac. Sci. Nat. Univ. Masaryk. Brunensis, Mathematica 15, 15, 241-255.
Downloads
Published
How to Cite
Issue
Section
License
The Austrian Journal of Statistics publish open access articles under the terms of the Creative Commons Attribution (CC BY) License.
The Creative Commons Attribution License (CC-BY) allows users to copy, distribute and transmit an article, adapt the article and make commercial use of the article. The CC BY license permits commercial and non-commercial re-use of an open access article, as long as the author is properly attributed.
Copyright on any research article published by the Austrian Journal of Statistics is retained by the author(s). Authors grant the Austrian Journal of Statistics a license to publish the article and identify itself as the original publisher. Authors also grant any third party the right to use the article freely as long as its original authors, citation details and publisher are identified.
Manuscripts should be unpublished and not be under consideration for publication elsewhere. By submitting an article, the author(s) certify that the article is their original work, that they have the right to submit the article for publication, and that they can grant the above license.