Contents - 1. Introduction; 2. The Vector Autoregressive Model; 3. Basic Definitions and Concepts; 4. Cointegration and Representation of Integrated Variables; 5. The I (1) Models and Their Interpretation; 6. The Statistical Analysis of I (1) Models; 7. Hypothesis Testing for the Long-Run Coefficients beta; 8. Hypothesis Testing for alpha; 9. The I (2) Model and a Test for I (2); 10. Probability Properties of I (1) Processes; 11. The Asymptotic Distribution of the Test for Cointegrating Rank; 12. Determination of Cointegrating Rank; 13. Asymptotic Properties of the Estimators; 14. The Power Function of the Test for Cointegrating Rank under Local Alternatives; References.