Cointegration in a historical perspective

DOI10.1016/J.JECONOM.2010.03.025MaRDI QIDQ736567zbMATH OpenOpenAlexFDO

Authors H. Peter Boswijk, Philip Hans Franses, Dick van Dijk

Publication date 4 August 2016

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

Full work available at URL http://dare.uva.nl/personal/pure/en/publications/cointegration-in-a-historical-perspective(6ca7587e-1863-4abc-ab87-560edead85e1).html

zbMATH Keywords

cointegrationcitations

Mathematics Subject Classification ID

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

Recommendations

• Cointegration: Overview and Development
• On the structure of cointegration
• Cointegration and aggregation
• COINTEGRATION AND COMMON FACTORS
• Some thoughts on the development of cointegration
• Recent Advances in Cointegration Analysis

Cites work

• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A new product growth for model consumer durables
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Econometric software development: past, present and future
• Estimating long-run relationships from dynamic heterogeneous panels
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Five alternative methods of estimating long-run equilibrium relationships
• Large Sample Properties of Generalized Method of Moments Estimators
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Modeling the diffusion of scientific publications
• Sample Selection Bias as a Specification Error
• Seasonal integration and cointegration
• Some thoughts on the development of cointegration
• Specification Tests in Econometrics
• Testing for Common Trends
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Time series analysis and simultaneous equation econometric models
• Understanding spurious regressions in econometrics
• Unit root tests in panel data: asymptotic and finite-sample properties

Cited in

(2)

• Clive W. J. Granger and cointegration
• Editorial: Twenty years of cointegration

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