Friday, November 14, 2014

Cointegration - The Definitive Overview

Recently released, this discussion paper from Søren Johansen, will give you the definitive overview of cointegration that you've been waiting for.

Titiled simply, "Time Series: Cointegration", Johansen's paper has been prepared for inclusion in the 2nd. edition of The International Encyclopedia of the Social and Behavioural Sciences, 2014. In the space of just sixteen pages, you'll find pretty much everything you need or want to know about cointegration.

To get you started, here's the abstract:
"An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1), formulation of hypotheses of interest on the rank, the cointegrating relations and the adjustment coefficients. A discussion of the asymptotic distribution results that are used for inference. The results are illustrated by a few examples. A number of extensions of the theory are pointed out."

© 2014, David E. Giles