Some thoughts on the development of cointegration

DOI10.1016/J.JECONOM.2010.03.002zbMath1431.62617OpenAlexW2010821417MaRDI QIDQ736550

Clive W. J. Granger

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.002

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (10)

Modeling time series data with semi-reflective boundaries ⋮ Semiparametric modeling of multiple quantiles ⋮ Bounded unit root processes with non-stationary volatility ⋮ Time series modeling of paleoclimate data ⋮ Testing for boundary conditions in case of fractionally integrated processes ⋮ Regulated fractionally integrated processes ⋮ Quantile cointegration in the autoregressive distributed-lag modeling framework ⋮ Testing for unit roots in bounded time series ⋮ Cointegration in a historical perspective ⋮ Dynamic factor structure of team performances in Liga MX

Cites Work

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