4. We use the identity Generally we would like the mean of an equilibrium error to be equal to zero! Which conditions should the expected cointegration mean satisfy?

6. The case with a constant and a trend

7. When there is a linear time trend in the equations, then:

8. A simulated example

10. Five cases

15. The MA representation with determ. comp.

18. The MA representation with a trend in the equations: Linear trends in the variables can derive from:

21. Dummy variables and the VAR

22. The simplified model can be written as: The expected value of the process and the cointegration relations becomes:

23. The dynamic properties of the data can now be expressed as: where It is easy to see that:

24. Illustration

26. Are the observed outliers additive or innovational?

27. An additive outlier in real money stock

28. The Danish VAR model with dummy variables

30. The unrestricted VAR with dummies

31. We need to distinguish between: