Chapter

Basic Definitions and Concepts

Søren Johansen

in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Published in print December 1995 | ISBN: 9780198774501
Published online November 2003 | e-ISBN: 9780191596476 | DOI: http://dx.doi.org/10.1093/0198774508.003.0003

Series: Advanced Texts in Econometrics

 							Basic Definitions and Concepts

More Like This

Show all results sharing this subject:

  • Econometrics and Mathematical Economics

GO

Show Summary Details

Preview

We give the basic definitions of integration, cointegration, common trends, and attractor set in the framework of linear processes. We define the concept I(d) of a process integrated of order d. The component processes are allowed to be integrated of different order, to be able to analyse stationary and non‐stationary data in the same model.

Keywords: attractor set; cointegration; common trends; linear processes

Chapter.  5118 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

Full text: subscription required

How to subscribe Recommend to my Librarian

Buy this work at Oxford University Press »

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.