Workbook on Cointegration

This workbook complements the textbook on likelihood-based inference, featuring exercises that enhance understanding of cointegration in vector autoregressive models.

The Workbook on Cointegration serves as an essential companion to the textbook 'Likelihood-Based Inference in Cointegrated Vector Autoregressive Models'. This workbook is meticulously designed to enhance understanding of the theory of cointegration within vector autoregressive models through a series of carefully crafted exercises and solutions. It aims to supplement the main text, which has been widely adopted in various courses focused on cointegration, providing students with practical applications of the theoretical concepts covered in the lectures.

Each chapter of the Workbook on Cointegration begins with a concise summary of the corresponding chapter in the main textbook. This approach not only helps to reinforce the key concepts but also introduces the necessary notation and highlights the most significant results. The exercises included range from straightforward applications to more complex problems that challenge students to engage deeply with the material. Many of these exercises have been inspired by actual exam questions, making them particularly useful for exam preparation.

In addition to its educational value, the workbook also summarizes important results published in the literature, providing a broader context for the exercises. This makes the Workbook on Cointegration an invaluable resource for students and instructors alike, as it bridges the gap between theory and practice in the study of cointegration and vector autoregressive models.