Grigory Kantorovich1
  • 1 National Research University Higher School of Economics, 20 Myasnitskaya Str., Moscow, 101000, Russian Federation

Time Series Analysis

2003. Vol. 7. No. 1. P. 79–103 [issue contents]

The publication of the time series Analysis course ends. In this issue we consider the construction of economic models with non - stationary regressors, the concept of co - integration and its relationship with the VAR-representation of a multidimensional process, testing the presence of co-integration dependence, evaluation of the model parameters in the presence of co-integration. The models with clustered volatility, which are widely used in the analysis of financial time series, are considered separately.

Citation: Kantorovich G. (2003) Lektsii: Analiz vremennykh ryadov [Time Series Analysis]. HSE Economic Journal , vol. 7, no 1, pp. 79-103 (in Russian)
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