Lecture Applied econometric time series (4e) - Chapter 6: Cointegration and error-correction models
Lecture Applied econometric time series (4e) - Chapter 6: Cointegration and error-correction models
This chapter’s objectives are to: Introduce the basic concept of cointegration and show that it applies in a variety of economic models, show that cointegration necessitates that the stochastic trends of nonstationary variables be linked