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...

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Bibliografski detalji

Glavni autor:	Ewa Marta Syczewska
Format:	Artigo
Jezik:	Inglês
Izdano:	Wydawnictwo SGGW - Warsaw University of Life Sciences Press 2011-12-01
Serija:	Quantitative Methods in Economics
Teme:	cointegration; fractional cointegration; nonstationarity; Engle-Granger metod; Johansen method; seasonal cointegration; nonlinear cointegration
Online pristup:	https://qme.sggw.edu.pl/article/view/3105
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