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