Co-integração: uma resenha com aplicações a séries brasileiras

Abstract

The stationarity hypothesis plays a fundamental role in the main results of econometric theory. The importance of this hypothesis has been recognized for many years, but it was only after the papers bv Granger & Newbold (1974) and Nelson & Plosser (1982) that the implications of non-stationarity for economic time series were treated appropriately. A special class of non-stationary variables, with important statistical and economical proprieties, is that of the integrated variables. Recently a great theoretical effort has been made in arder to obtain estimation methods and tests for models in which integrated variables are present. This survey reviews some of the theoretical results in the literature about integration and co-integration and also applies this methodology to Brazilian time series.