Co-integration in structural time series models

14/03/2018 10:15
In 2017, Statistic Netherlands released the Price Dashboard, consisting of seventeen indicators related to inflation. We investigated the temporal relationships between the inflation indicators, based on historical time series using structural time series models.
We used the notion of co-integration within structural time series models to determine whether some of the series show similar behaviour over time. We found that most of them are related to other indicators within the dashboard, but only to a certain extent. We identified groups of series that have a high degree of co-movement.