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Cointegration: An Introduction to the Literature

Journal of Economic Studies

ISSN: 0144-3585

Article publication date: 1 March 1991

Abstract

An overview of the cointegration approach to econometric specification and estimation is provided. A non‐technical approach is adopted, and is intended to serve as an entry into this important new literature for the reader with no background knowledge of the subject but with some limited knowledge of econometrics. Particular emphases are given to the rationale for using cointegration techniques in the estimation of economic relationships, to providing intuitive explanations of the concepts and techniques, and to demonstrating their applications in practice. Reference is made throughout to other articles which explain particular methods or recent developments more formally and fully than is possible here. Finally, a simple application of cointegration techniques to the estimation of the consumption function is provided.

Keywords

Citation

Perman, R. (1991), "Cointegration: An Introduction to the Literature", Journal of Economic Studies, Vol. 18 No. 3. https://doi.org/10.1108/EUM0000000000151

Publisher

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MCB UP Ltd

Copyright © 1991, MCB UP Limited