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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

Conclusion

Conclusion

Chapter:
(p.299) 9 Conclusion
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:10.1093/0198288107.003.0009

The final chapter summarizes the main themes of the book, and considers the invariance of the matrix of co‐integrating vectors in a linear system under both linear transformations and seasonal adjustment. Next, co‐integration is related to structured time‐series models that offer an alternative approach to modelling integrated data. Further developments in the theory are described, and the book concludes by reinterpreting some old econometric problems in light of co‐integration theory.

Keywords:   econometrics, invariance, linear transformations, seasonal adjustment, structured time‐series models

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