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Codependence and Cointegration

Trenkler, Carsten and Weber, Enzo (2009) Codependence and Cointegration. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 437, Discussion Paper.

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Date of publication of this fulltext: 21 Oct 2009 14:01

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We introduce the idea of common serial correlation features among non-stationary, cointegrated variables. That is, the time series do not only trend together in the long run, but adjustment restores equilibrium immediately in the period following a deviation. Allowing for delayed re-equilibration, we extend the framework to codependence. The restrictions derived for VECMs exhibiting the common ...


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Item type:Monograph (Discussion Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:21 October 2009
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Identification Number:
RePEc:bay:rdwiwi:9852RePEc Handle
C32Journal of Economics Literature Classification
E52Journal of Economics Literature Classification
Keywords:VAR, serial correlation common features, codependence, cointegration
Dewey Decimal Classification:300 Social sciences > 330 Economics
Refereed:No, this document will not be refereed
Created at the University of Regensburg:Yes
Item ID:9852
Owner only: item control page


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