This paper introduces a representation of an integrated vectortime series in which the coefficient of multiple correlation computed fromthe long-run covariance matrix of the innovation sequences is a primitiveparameter of the model. Based on this representation, a notion of nearcointegration is...

This paper introduces a representation of an integrated vector time series in which the coefficient of multiple correlation computed from the long-run covariance matrix of the innovation sequences is a primitive parameter of the model. Based on this representation, a notion of near cointegration...

This study develops a money demand model for Latvia for the period from 1996 to 2006. The model isspecified in the error-correction form based on a single co-integrating vector between real money balances, gross domestic product, long-term interest rate, and the rate of inflation. The model...