Mathematical and Statistical Modelling of Cointegration

A brief overview is given of some problems in econometric model building. We discuss, by example, the concept of a time series, a random walk, and integrated variable and the notion of cointegration and common trends.

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Year of publication:	1997
Authors:	Johansen, S.
Institutions:	Department of Economics, European University Institute
Subject:	ECONOMETRICS \| STATISTICS \| MATHEMATICS

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Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	16 pages
Classification:	C5 - Econometric Modeling ; C6 - Mathematical Methods and Programming
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005697728