Cointegration since Granger: evolution and development
Cointegration since Granger: evolution and development
Author(s): Ewa Marta SyczewskaSubject(s): Economy
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: cointegration; fractional cointegration; nonstationarity; Engle-Granger metod; Johansen method; seasonal cointegration; nonlinear cointegration
Summary/Abstract: 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 applications in macroeconomics and financial econometrics. After 30 years the concept is still quite important in theory and in applied work.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XII/2011
- Issue No: 1
- Page Range: 147-164
- Page Count: 18
- Language: English