Abstract
This article summarizes the mathematical structure of cointegrated time series models and discusses econometric procedures commonly used to analyse cointegrated time series. This discussion is carried out in the context of stochastic trends that follow driftless I(1) or ‘unit root’ processes. The article concludes with a brief discussion of cointegration in the context of more general stochastic trends.
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Watson, M.W. (2018). Cointegration. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2219
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DOI: https://doi.org/10.1057/978-1-349-95189-5_2219
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