Chapter

Conclusion

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/10.1093/0198288107.003.0009

Series: Advanced Texts in Econometrics

 Conclusion

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The final chapter summarizes the main themes of the book, and considers the invariance of the matrix of co‐integrating vectors in a linear system under both linear transformations and seasonal adjustment. Next, co‐integration is related to structured time‐series models that offer an alternative approach to modelling integrated data. Further developments in the theory are described, and the book concludes by reinterpreting some old econometric problems in light of co‐integration theory.

Keywords: econometrics; invariance; linear transformations; seasonal adjustment; structured time‐series models

Chapter.  5798 words. 

Subjects: Econometrics and Mathematical Economics

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