Cointegration and Dynamic Time Series Models

Abstract

This paper provides a survey of some of the recent developments in the field of econometric modelling with cointegrated time series. In particular, we describe the testing and estimation procedures which have become increasingly popular in the recent applied literature. In addition to the 'twostage' procedure proposed by Engle and Granger, we consider extensions to the modelling of dynamic models with cointegrated variables, such as the estimation of models with multiple cointegration vectors, simultaneous systems, models with seasonally integrated and cointegrated variables. Furthermore, we illustrate the practical application of the techniques describes in the paper by means of a tutorial data set.

How Important is Oil in Nigeria’s Economic Growth?

“…Therefore, we only provide a sketch of the technique in this paper. For detailed explanations and reviews of the technique one can consult the work of Ambler, 1989;Muscatelli & Hurn (1992); Harris (1995) and Renote, Jr. (2001) among others.…”

The effects of oil and non-oil exports on economic growth: a case study of the Iranian economy

“…As long as the variables are cointegrated, the variables are considered non-stationary at level. In addition, Muscatelli and Hurn (1992) articulated that given the pre-testing problem in the unit root, as long as the chosen set of independent and dependent variables are cointegrated, we need to worry less about the order of integration of the individual variables. Owing to these compelling arguments, it is plausible to apply the Johansen-Juselius test for cointegration even when the order of integration is inconsistent (see also Tang, 2010).…”

Price Links between Auction and Direct Sales of Fresh and Frozen Fish in North Norway (1997-2003)

“…Indeed, several empirical analyses of price linkages at different levels in the seafood marketing chain using cointegration analysis have been published recently (Asche, Bremnes, and Wessells 1999;Clayton and Gordon 1999;Jaffry, Pascoe, and Robinson 1999;Asche 2001;. There is also a substantial literature dealing with the theory of stationarity, cointegration, and tests for LOP and weak exogeneity (Muscatelli and Hurn 1992;Maddala and Kim 1998;Harris 1995;Asche and Steen 1998). To set the context of this paper, the systems of exchange for groundfish species in North Norway are described next.…”