Autore: Johansen, Soren
Titolo: Mathematical and statistical modelling of cointegration
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1997 - Fascicolo: 14 - Pagina iniziale: 1 - Pagina finale: 16

A brief overview is given of some of the problems in econometric model building. We discuss, by example, the concept of a time series, a random walk, and integrated variable and the notion of cointegration and common trends. This lecture was presented at the University of Copenhagen for the occasion of Copenhagen as the Cultural City of Europe, September 1996, and at EUI for the workshop on Inflation and Unemployment in Economies in Transition, October 1996.


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Testo completo: http://hdl.handle.net/1814/623

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