Long-Run Economic Relations

In this interesting survey of recent developments in the field of cointegration, the authors discuss how cointegration (the linking of long run components of a pair or of a group or series), can be used to discuss some types of equilibrium and to introduce those equilibria into time-series models in a fairly uncontroversial way. The authors discuss the basic ideas in their introduction and the final chapters review the most recent developments in the field in a non-technical manner.

Variable trends in economic time series, James Stock & Mark Watson; econometric modelling with cointegrated variables - an overview, David Hendry; developments in the study of cointegrated economic variables, Clive Granger; cointegration and error-correction - representation, estimation, and testing, Robert Engle and Clive Granger; forecasting and testing in cointegrated systems, Robert Engle and Sam Yoo; statistical analysis of cointegration vectors, Soren Johansen; testing for common trends, James Stock and Mark Watson; multi cointegration, Clive Granger and Tae-Hwy Lee; cointegration and tests of present value models, John Campbell and Robert J.Shiller; merging short-and long-run forecases, Robert Engle, et al; cointegrated economic time series - an overview with new results, Robert Engle and Sam Yoo; critical values for cointegration tests, James MacKinnon; some recent generalizations of cointegration and the analysis of long-run relationships, Clive Granger.