Cointegration Analysis And Application

Cointegration analysis has become a standard tool in econometrics duringthe last two decades after its introduction by Granger(1981)[12] and Engle&Granger(1987)[8].Two scholar have the honor of acquiring the 2003 years Nobel eco-nomics prize because of their outstanding contribution in this realm.Probabillisticmethods , mathematical statistical methods and dynamic model sepecialized methodsis subtly mixed in cointegration modeling theory and the economy construction modeldescribing unknowable data generation process(DGP) is built,so the economic systeminner law can be illustrated more e?ectively and accurately by time series modeling .This dissertation summarized the research work in the following three parts .Thefirst part reviews the development of cointegration analysis theory and summarizes therecent advances in time series analysis and cointegration modeling .In the second part,Wiener process ,functional central limit thorem and structure of unit root process arerepresented ,In the third part unit root test of the time series with a deterministictrend is completely discussed.The fourth part is an empirical analysis:cointegration and causality between ex-ports and economic growth in XinJiang region. The study indicates that the twoserieses are all non-stationary , unit root process over the period 1980-2003. Theresults show that there is only one cointegration relationship between the economicgrowth and exports,and they have dual Granger Causality relationships.in addition, anew evidence of hypothesis of export –led growth(ELG)is demonstrated.