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:

Series: Advanced Texts in Econometrics

 							Basic Definitions and Concepts

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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

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