Dublin Core The Dublin Core metadata element set is common to all Omeka records, including items, files, and collections. For more information see, http://dublincore.org/documents/dces/. Title A name given to the resource Articles Article Faculty Publications -Articles Dublin Core The Dublin Core metadata element set is common to all Omeka records, including items, files, and collections. For more information see, http://dublincore.org/documents/dces/. Title A name given to the resource Modelling of Cointegration with Students T-errors Subject The topic of the resource Cointegration; Conditional MLE; Error Correction Model; Students-t Distribution; Unit Root Test Description An account of the resource Two or more non-stationary time series are said to be co-integrated if a certain linear combination of them be-comes stationary. Identification of co-integrating relationships among the relevant time series helps the researchers to develop efficient forecasting methods. The classical approach of analyzing such series is to express the co-integrating time series in the form of error correction models with Gaussian errors. However, the modeling and analysis of cointegration in the presence of non-normal errors needs to be developed as most of the real time series in the field of finance and economics deviates from the assumption of normality. This paper focuses on modeling of a bivariate cointegration with a students-t distributed error. The co-integrating vector obtained from the error correction equation is estimated using the method of maximum likelihood. A unit root test of first order non stationary process with students t-errors is also defined. The resulting estimators are used to construct test procedures for testing the unit root and cointegration associated with two time series. The likelihood equations are all solved using numerical approaches because the estimating equations do not have an explicit solution. A simulation study is carried out to illustrate the finite sample properties of the model. The simulation experiments show that the estimates perform reasonably well. The applicability of the model is illustrated by analyzing the data on time series of Bombay stock exchange indices and crude oil prices and found that the proposed model is a good fit for the data sets. 2022 by authors, all rights reserved. Creator An entity primarily responsible for making the resource John N.; Narayana B. Source A related resource from which the described resource is derived Mathematics and Statistics, Vol-10, No. 1, pp. 233-245. Publisher An entity responsible for making the resource available Horizon Research Publishing Date A point or period of time associated with an event in the lifecycle of the resource 2022-01-01 Identifier An unambiguous reference to the resource within a given context <a href="https://doi.org/10.13189/ms.2022.100122" target="_blank" rel="noreferrer noopener">https://doi.org/10.13189/ms.2022.100122</a> <br /><br /><a href="https://www.scopus.com/inward/record.uri?eid=2-s2.0-85123609211&amp;doi=10.13189%2Fms.2022.100122&amp;partnerID=40&amp;md5=a487b287ec708ac86167e42a682dcbfa" target="_blank" rel="noreferrer noopener">https://www.scopus.com/inward/record.uri?eid=2-s2.0-85123609211&amp;doi=10.13189%2fms.2022.100122&amp;partnerID=40&amp;md5=a487b287ec708ac86167e42a682dcbfa</a> Rights Information about rights held in and over the resource All Open Access; Gold Open Access Relation A related resource ISSN: 23322071 Format The file format, physical medium, or dimensions of the resource Online Language A language of the resource English Type The nature or genre of the resource Article Coverage The spatial or temporal topic of the resource, the spatial applicability of the resource, or the jurisdiction under which the resource is relevant John N., Department of Statistics, Christ Deemed to be University, India; Narayana B., Department of Statistics, Cochin University of Science and Technology, India