Answers are grounded in this paper and cite their sources.
We describe the concept of cointegration, its implications in modelling and forecasting, and discuss inference procedures appropriate in integrated-cointegrated vector autoregressive processes (VARs). Particular attention is paid to the properties of VARs, to the modelling of deterministic terms, and to the determination of the number of cointegration vectors. The analysis is illustrated by empirical examples.
No takes yet. Share an insight, caveat, or question.
Hendry et al. (2001) studied this question.
Synapse has enriched 10 related papers. Consider them for comparative context: