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Statistical inference of cointegrating vectors

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2013
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Advisor: Doç. Dr. Esin Firuzan

Abstract (EN)

Cointegration analysis states that, in case the economic variable to be analyzed is not stationary, a linear combination of these series would be stationary. Put it differently, cointegration studies the linear combination of non-stationary variables. A simulation study is conducted in Chapter Four for the estimation of the coefficient matrix for the cointegrated vector autoregressive process. This study, in the last chapter, gives information about the performances of Johansen Trace and Maximum Eigenvalue tests, used for testing cointegration, depending on the size of the sample and the number of the variables in the system. Keywords: Cointegration, least square method, maximum likelihood method, trace test, maximum eigenvalue test

Author

Selim Orhun Susam

How to Cite

Selim Orhun Susam (Master Thesis). Statistical inference of cointegrating vectors, 2013, Dokuz Eylül University.

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