Cointegration and dynamic time series models

Muscatelli, V. A. and Hurn, S. (1992) Cointegration and dynamic time series models. Journal of Economic Surveys, 6(1), pp. 1-43. (doi: 10.1111/j.1467-6419.1992.tb00142.x)

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This paper provides a survey of some of the recent developments in the field of econometric modelling with cointegrated time series. In particular, we describe the testing and estimation procedures which have become increasingly popular in the recent applied literature. In addition to the ‘two‐stage’ procedure proposed by Engle and Granger, we consider extensions to the modelling of dynamic models with cointegrated variables, such as the estimation of models with multiple cointegration vectors, simultaneous systems, models with seasonally integrated and cointegrated variables. Furthermore, we illustrate the practical application of the techniques describes in the paper by means of a tutorial data set.

Item Type:Articles
Glasgow Author(s) Enlighten ID:Muscatelli, Professor Anton
Authors: Muscatelli, V. A., and Hurn, S.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Journal of Economic Surveys
ISSN (Online):1467-6419

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