Koop, Gary; Strachan, Rodney W.; Dijk, Herman K. van; … - 2005
Bayesian Approaches to Cointegration
Econometric Institute Report EI 2005-13
Gary Koop
Department of Economics … long term interest rate series. If linear
combinations of unit root variabels are stationary, then cointegration is said to …
occur. Since the fundamental work developing the concept of cointegration (e.g.
Engle and Granger (1987)), an enormous …