Workbook on Cointegration

• FROM REVIEW OF Likelihood-Based Inference in Cointegrated Vector Autoregressive Models:
• 'A comprehensive exposition of Søren Johansen's remarkable contribution to the theory of cointegration analysis.'

Readership: Any graduate student or researcher in economics and econometrics who wants to understand the modern formulation of the theory of cointegration. Graduate students working on time series econometrics.

Peter Reinhard Hansen, Economics Department, University of California, San Diego, and Søren Johansen, Professor, Institute of Mathematical Statistics, University of Copenhagen

1: Introduction
2: The Vector Autoregressive Model
3: Basic Definitions and Concepts
4: Cointegration and Representation of Integrated Variables
5: The I (1) Models and Their Interpretation
6: The Statistical Analysis of I (1) Models
7: Hypothesis Testing for the Long-Run Coefficients beta
8: Hypothesis Testing for alpha
9: The I (2) Model and a Test for I (2)
10: Probability Properties of I (1) Processes
11: The Asymptotic Distribution of the Test for Cointegrating Rank
12: Determination of Cointegrating Rank
13: Asymptotic Properties of the Estimators
14: The Power Function of the Test for Cointegrating Rank under Local Alternatives
References