Workbook on Cointegration

Paperback | September 1, 1998

byPeter Reinhard Hansen, Soren Johansen

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This workbook is a companion to the textbook Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, also published by Oxford University Press. The workbook contains exercises and solutions concerned with the theory of cointegration in the vector autoregressive model. The maintext has been used for courses on Cointegration, and many of the exercises have been posed as either training exercises or exam questions. Many of them are challenging and summarize results published in the literature. Each chapter starts with a brief summary of the content of the correspondingchapter in the main text, which introduces the notation and the most important results.

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This workbook is a companion to the textbook Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, also published by Oxford University Press. The workbook contains exercises and solutions concerned with the theory of cointegration in the vector autoregressive model. The maintext has been used for courses on Cointegra...

Peter Reinhard Hansen is at University of California, San Diego. Soren Johansen is at University of Copenhagen.
Format:PaperbackPublished:September 1, 1998Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0198776071

ISBN - 13:9780198776079

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Table of Contents

1. Introduction2. The Vector Autoregressive Model3. Basic Definitions and Concepts4. Cointegration and Representation of Integrated Variables5. The I (1) Models and Their Interpretation6. The Statistical Analysis of I (1) Models7. Hypothesis Testing for the Long-Run Coefficients beta8. Hypothesis Testing for alpha9. The I (2) Model and a Test for I (2)10. Probability Properties of I (1) Processes11. The Asymptotic Distribution of the Test for Cointegrating Rank12. Determination of Cointegrating Rank13. Asymptotic Properties of the Estimators14. The Power Function of the Test for Cointegrating Rank under Local AlternativesReferences