Single-Equation Methods

Part of the Use R! book series (USE R)

This is the first chapter of the third and last part of this book. The cointegration methodology is first presented for the case of single-equation models. The Engle-Granger two-step procedure is demonstrated by estimating a consumption function and its error-correction form for the United Kingdom as in Holden and Perman [1994]. In the Section 7.2, the method proposed by Phillips and Ouliaris [1990] is applied to the same data set. The application and inferences of a vector error-correction model are saved for Chapter 8.


Cointegration Test Consumption Function Integration Order Money Demand Function Spurious Relationship 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer Science+Business Media, LLC 2008

Personalised recommendations