Co-Integration and Error Correction: Representation, Estimation, and Testing
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Publication:4720635
DOI10.2307/1913236zbMath0613.62140OpenAlexW2110603299WikidataQ55879649 ScholiaQ55879649MaRDI QIDQ4720635
Clive W. J. Granger, Robert F. Engle
Publication date: 1987
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/9885b611792aedb706ba905e610b4a0a409d5984
estimationrepresentation theoremcritical valuesmultivariate time seriesDickey-Fuller testsco-integrationerror correction modelslong-run equilibriumtesting for unit roots
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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