An overview of the cointegration approach to econometricspecification and estimation is provided. A nontechnical approach isadopted, and is intended to serve as an entry into this important newliterature for the reader with no background knowledge of the subjectbut with some limited knowledge of econometrics. Particular emphases aregiven to the rationale for using cointegration techniques in theestimation of economic relationships, to providing intuitiveexplanations of the concepts and techniques, and to demonstrating theirapplications in practice. Reference is made throughout to other articleswhich explain particular methods or recent developments more formallyand fully than is possible here. Finally, a simple application ofcointegration techniques to the estimation of the consumption functionis provided.
Journal of Economic Studies – Emerald Publishing
Published: Mar 1, 1991
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