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Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data$
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Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David Hendry

Print publication date: 1993

Print ISBN-13: 9780198288107

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198288107.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2022. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use.date: 01 July 2022

Regression With Integrated Variables

Regression With Integrated Variables

Chapter:
(p.162) 6 Regression With Integrated Variables
Source:
Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
Author(s):

Anindya Banerjee (Contributor Webpage)

Juan J. Dolado

John W. Galbraith (Contributor Webpage)

David F. Hendry (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0198288107.003.0006

The chapter demonstrates the special problems with inference that arise, for example, in orthogonality tests for rational expectations, from the presence of integrated variables. Using results from Sims, Stock and Watson (1990), we show how a proper consideration of the deterministics, the orders of integration of the variables, and dynamic specifications that take into account any co‐integrating relationships among the variables, enables the use of many of the standard distributional results to be restored. Our analysis is illustrated by a number of informative examples.

Keywords:   co‐integration, deterministics, dynamic regressions, integrated variables unbalanced regressions, orders of integration, orthogonality tests, rational expectations

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