Cointegration since Granger: evolution and development
This paper is an attempt to give a subjective overview of evolution and development of cointegration concept since the first paper by C.W.J. Granger in 1991, Johansen’s reduced rank method of 1987 and Engle and Granger 1987 paper. Various generalizations are rather diversified and find many applicat...
Gardado en:
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
Wydawnictwo SGGW - Warsaw University of Life Sciences Press
2011-12-01
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| Series: | Quantitative Methods in Economics |
| Assuntos: | |
| Acceso en liña: | https://qme.sggw.edu.pl/article/view/3105 |
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