Chapter

Cointegration and Modelling the Long Run

Simon Price

in Research Strategies in the Social Sciences

Published in print July 1998 | ISBN: 9780198292371
Published online November 2003 | e-ISBN: 9780191600159 | DOI: http://dx.doi.org/10.1093/0198292376.003.0008
 Cointegration and Modelling the Long Run

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Extending the regression model to the analysis of non‐stationary, or trended, data. The examples demonstrate the application of unit root methodology, Engle‐Granger co‐integration procedures, and error correction methods. The application of appropriate statistics, such as the Augmented Dickey‐Fuller test, is also demonstrated.

Keywords: Augmented Dickey‐Fuller; CATS for RATS; co‐integration; Engle‐Granger; error correction; EVIEWS; Microfit; non‐stationarity; trended data; unit roots

Chapter.  12388 words.  Illustrated.

Subjects: Politics

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