Chapter

Co‐Integration

Anindya Banerjee, Juan J. Dolado, John W. Galbraith and David F. Hendry

in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

Published in print May 1993 | ISBN: 9780198288107
Published online November 2003 | e-ISBN: 9780191595899 | DOI: http://dx.doi.org/10.1093/0198288107.003.0005

Series: Advanced Texts in Econometrics

 Co‐Integration

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The key concept of co‐integration of integrated time series is defined, and several examples are presented. An important theorem due to Granger on alternative representations of a system of co‐integrated variables is stated and its proof is sketched. The chapter then discusses the Engle–Granger two‐step procedure for estimating the parameters characterizing the co‐integrating relationship.

Keywords: co‐integration; Engle–Granger two‐step procedure; Granger representation theorem; integration; polynomial matrices; time series

Chapter.  12773 words. 

Subjects: Econometrics and Mathematical Economics

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