Workbook on Cointegration

Cointegration is a statistical tool for describing the co-movement of economic data measured over time. A number of textbooks now exist for introducing applied economists and econometricians to the modern statistical formulation of this technique. The present workbook consists of exercises and their solutions. The book is meant as an aid for the study of cointegration and gives the student and researcher a possibility to check their understanding of the topic. The exercises are taken from Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, also published by Oxford University Press.