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Leitfaden zum Testen und Schätzen von Kointegration

  • Uwe Hassler
Part of the Studies in Contemporary Economics book series (CONTEMPORARY)

Zusammenfassung

Vor einem Dutzend Jahren begann die Publikation einer Reihe von Arbeiten, welche die Ö konometrie unter dem Stich wort „Kointegration“ von Grund auf revolutioniert haben, was das vorangestellte Zitat unterstreichen soll. Ein Grund, warum sich das Kointegrationskonzept erdrutschartig auf dem Gebiet der empirischen Wirtschaftsforschung durchsetzen konnte, ist, dass hier rein technische, statistisch-zeitreihenanaly tische Ansätze mit dem ökonomischen Gleichgewichtsgedanken in Verbindung gebracht wurden. Hinzu kam, dass Vorliegen von Kointegration unter bestimmten Annahmen eine Kleinst-Quadrate(OLS)-Regression von Einzelgleichungen rechtfertigt, so dass die neuen Methoden mit gängigen Programmpaketen umgesetzt werden können.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Uwe Hassler
    • 1
  1. 1.Statistik und Methoden der ÖkonometrieJohann Wolfgang Goethe Universität FrankfurtFrankfurt

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