Estimating systems of trending variables |
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| Authors: | S⊘ren Johansen |
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| Affiliation: | Institute of Mathematical Statistics , Universi tetsparken 5 , Copenhagen ?, 2100, Denmark |
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| Abstract: | A survey is given of some results on inference in cointegrated systems. We discuss some regression methods, and contrast them with the analysis of the vector autoregressive model. We discuss determination of cointegrating rank and estimation of parameters, as well as asymptotic inference. The problems are treated for 1(1) and for 1(2) variables. |
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| Keywords: | Cointegration Regression Methods Asymptotic Inference Integrated Time Series Trending Variables Reduced Rank Regression |
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