Cointegration since Granger: evolution and development

• Authors: Ewa Marta Syczewska
• Languages of publication: EN

Abstracts

EN

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.

Keywords

EN

cointegration, fractional cointegration, nonstationarity, Engle-Granger metod; Johansen method; seasonal cointegration; nonlinear cointegration

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2011
• Volume: 12
• Issue: 1

Contributors

author

Ewa Marta Syczewska

• Institute of Econometrics, Warsaw School of Economics

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