Chapter

Conceptual Framework of the Co‐Integration and Its Relation to Economic Theories

Michio Hatanaka

in Time-Series-Based Econometrics

Published in print January 1996 | ISBN: 9780198773535
Published online November 2003 | e-ISBN: 9780191596360 | DOI: http://dx.doi.org/10.1093/0198773536.003.0012

Series: Advanced Texts in Econometrics

 Conceptual Framework of the Co‐Integration and Its Relation to Economic Theories

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This chapter discusses co-integration and the Granger representation theorem. The theoretical structure of the Granger representation theorem is illustrated with economic interpretation by a bivariate process. The economic error-correction model is used to show the type of long-run relationships that be dealt with by the co-integration analysis. The recovery of the parameter of the economic error-correction model from that of the statistical error-correction model is also presented.

Keywords: co-integration; Granger representation theorem; economic error-correction model; economic theory

Chapter.  17991 words. 

Subjects: Econometrics and Mathematical Economics

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