- PII
- S042473880000616-6-1
- DOI
- 10.31857/S0000616-6-1
- Publication type
- Article
- Status
- Published
- Authors
- Volume/ Edition
- Volume / Issue №2
- Pages
- 101-110
- Abstract
- The analysis of macroeconomic data almost always faces the problem of non-stationary series and series with General dynamics. Recent studies have shown that along with the usual classical methods of Box-Jenkins and Engle-Granger, there is a more productive and adequate method for analyzing non-stationary series, which, according to the idea of cointegration theory, allows us to obtain a functional dependence based on non-stationary series. In this paper, we consider the Johansen method for finding the integration space, and give an example of using the method for analyzing the Russian financial market. The author's approach consists in the practical application of the cointegration apparatus, which is little known and practically not used by economists in Russia.
- Keywords
- Date of publication
- 01.04.2007
- Number of purchasers
- 0
- Views
- 765
RAS Social ScienceEconomics and the Mathematical Methods
- ISSN (Print) 0424-7388
- ISSN (Online)3034-6177
MARKET ANALYSIS BASED ON COINTEGRATION THEORY
Индексирование
Scopus
Crossref
Higher Attestation Commission
At the Ministry of Education and Science of the Russian Federation
Scientific Electronic Library