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Clive W.J. Granger and Cointegration

Abstract:

Clive Granger developed the fundamental concept of cointegration for linking variables within non-stationary vector time series. Granger discovered cointegration while trying to refute a critique by Hendry of his research with Paul Newbold on `nonsense regressions' betweeen nonstationary data. Although the initial estimation and testing approach in his paper with Robert F. Engle has been superceded by a plethora of methods, the concept of cointegration has led to a merger of economic analyses...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted manuscript

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Department:
Oxford, SSD, Economics
More by this author
Department:
Oxford, SSD, Economics
Publisher:
European Journal of Pure and Applied Mathematics Publisher's website
Journal:
European Journal of Pure and Applied Mathematics Journal website
Volume:
10
Issue:
1
Publication date:
2017-01-10
Acceptance date:
2016-12-16
ISSN:
1307-5543
Pubs id:
pubs:666217
URN:
uri:32a3de3a-bbab-43fb-8439-a9f742cb602e
UUID:
uuid:32a3de3a-bbab-43fb-8439-a9f742cb602e
Local pid:
pubs:666217

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