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.
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(2008). Single-Equation Methods. In: Analysis of Integrated and Cointegrated Time Series with R. Use R!. Springer, New York, NY. https://doi.org/10.1007/978-0-387-75967-8_7
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DOI: https://doi.org/10.1007/978-0-387-75967-8_7
Publisher Name: Springer, New York, NY
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