COINTEGRATION AND DYNAMIC TIME SERIES MODELS
综述了协整时间序列计量经济建模的最新进展，介绍了Engle和Granger两步法及其扩展，包括多协整向量、联立系统、季节协整等，并用教程数据集演示实际应用。
ABSTRACT. This paper provides a survey of some of the recent developments in the field of econometric modelling with cointegrated time series. In particular, we describe the testing and estimation procedures which have become increasingly popular in the recent applied literature. In addition to the ‘two‐stage’ procedure proposed by Engle and Granger, we consider extensions to the modelling of dynamic models with cointegrated variables, such as the estimation of models with multiple cointegration vectors, simultaneous systems, models with seasonally integrated and cointegrated variables. Furthermore, we illustrate the practical application of the techniques describes in the paper by means of a tutorial data set.