Workbook on Cointegration [Paperback]

This workbook consists of exercises taken fromLikelihood-Based Inferences in Cointegrated Vector Autoregressive Modelsby Soren Johansen, together with worked-out solutions.

About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

1. Introduction
2. The Vector Autoregressive Model
3. Basic Definitions and Concepts
4. Cointegration and Representation of Integrated Variables
5. The I (1) Models and Their Interpretation
6. The Statistical Analysis of I (1) Models
7. Hypothesis Testing for the Long-Run Coefficients beta
8. Hypothesis Testing for alpha
9. The I (2) Model and a Test for I (2)
10. Probability Properties of I (1) Processes
11. The Asymptotic Distribution of the Test for Cointegrating Rank
12. Determination of Cointegrating Rank
13. Asymptotic Properties of the Estimators
14. The Power Function of the Test for Cointegrating Rank under Local Alternatives
References