Co-Integração e suas Representações: Uma Resenha

Abstract

This survey article presents some possible representations of multivariate co-integrated processes. The concept of multivariate co-integration allows the existence of linear relationship between integrated variables which has order of integration smaller than the variables that belong to this relationship. Most of the literature has studied the case in which the relationship between the variables ia a stationary variable, i.e. I(0), because, in this case, the convencional regression approach can be used. It is presented several representations of co-integrated processes, and from the econometric point of view, the most important is the Error Correction Model approach, which allows adjustment to some long-run equilibrium described by economic theory. The short-run adjustment is a "servomechanism" which econometricians are free to model pragmatically.