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We use the identity

Which conditions should the expected cointegration mean satisfy?. Generally we would like the mean of an equilibrium error to be equal to zero!. We use the identity. The case with a constant and a trend. When there is a linear time trend in the equations, then:. A simulated example.

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We use the identity

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  1. Which conditions should the expected cointegration mean satisfy? Generally we would like the mean of an equilibrium error to be equal to zero! We use the identity

  2. The case with a constant and a trend

  3. When there is a linear time trend in the equations, then:

  4. A simulated example

  5. Five cases

  6. The MA representation with determ. comp.

  7. The MA representation with a trend in the equations: Linear trends in the variables can derive from:

  8. Dummy variables and the VAR

  9. The simplified model can be written as: The expected value of the process and the cointegration relations becomes:

  10. The dynamic properties of the data can now be expressed as: where It is easy to see that:

  11. Illustration

  12. Are the observed outliers additive or innovational?

  13. An additive outlier in real money stock

  14. The Danish VAR model with dummy variables

  15. The unrestricted VAR with dummies

  16. We need to distinguish between:

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