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Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data$
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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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Co‐Integration in Systems of Equations

Co‐Integration in Systems of Equations

Chapter:
(p.255) 8 Co‐Integration in Systems of Equations
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:10.1093/0198288107.003.0008

Co‐integration in systems of equations is analysed. Linear co‐integrated systems are expressed in error‐correction form and maximum likelihood estimation and inference for co‐integrating vectors are discussed, focusing on the approach proposed by Johansen (1988). Methods of finding the co‐integrating rank are considered and circumstances in which dynamic single‐equation methods will be equivalent to systems methods are demonstrated. The analysis is again illustrated by a number of applications and evidence from simulation experiments. Forecasting in co‐integrated systems is noted.

Keywords:   co‐integrating rank, co‐integration, error correction, forecasting, maximum likelihood, Søren Johansen

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