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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Hlavní autor:	Ewa Marta Syczewska
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	Wydawnictwo SGGW - Warsaw University of Life Sciences Press 2011-12-01
Edice:	Quantitative Methods in Economics
Témata:	cointegration; fractional cointegration; nonstationarity; Engle-Granger metod; Johansen method; seasonal cointegration; nonlinear cointegration
On-line přístup:	https://qme.sggw.edu.pl/article/view/3105
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