Co-Integration and Error Correction: Representation, Estimation, and Testing

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

zbMATH Keywords

estimation representation theorem critical values multivariate time series Dickey-Fuller tests co-integration error correction models long-run equilibrium testing for unit roots

Mathematics Subject Classification ID

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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Using a threshold regression model, A trend-switching financial time series model with level-duration dependence, A residual based test for the null hypothesis of cointegration., Currency devaluation, aggregate output, and the long run: An empirical study, Bartlett corrections in cointegration testing, Bayesian estimation for threshold autoregressive model with multiple structural breaks, Time-varying lag cointegration, Testing for the cointegrating rank of a VAR process with a time trend, On transformed linear cointegration models, Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root, Bootstrap tests for fractional integration and cointegration: a comparison study, Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes, Long-run and short-run co-movement in UK consumption and income, An algebraic interpretation of cointegration, On the ``mementum of meme stocks, Revealing pairs-trading opportunities with long short-term memory networks, Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment, Long memory and crude oil's price predictability, Pairs trading with illiquidity and position limits, Optimal market-making strategies under synchronised order arrivals with deep neural networks, Dynamic pairs trading using the stochastic control approach, Pushing the limit? Fiscal policy in the European Monetary Union, On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond, Spline estimation of functional coefficient regression models for time series with correlated errors, Mean-variance asset-liability management: cointegrated assets and insurance liability, Inference on functionals under first order degeneracy, Detection and attribution of climate change through econometric methods, The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations, Matrix factorization for multivariate time series analysis, An alternative approach to monetary aggregation in DEA, An alternative procedure to test for cointegration in STAR models, Editorial: Econometric models of climate change: introduction by the guest editors, Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures, Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions, Risk-adjusted returns from statistical arbitrage opportunities in Indian stock futures market, Pitfalls and merits of cointegration-based mortality models, A fault detection method based on stacking the SAE-SRBM for nonstationary and stationary hybrid processes, Inference in heavy-tailed vector error correction models, Cointegration in high frequency data, Consumption, aggregate wealth and expected stock returns: an FCVAR approach, A robust procedure to build dynamic factor models with cluster structure, Estimation for double-nonlinear cointegration, Cotrending: testing for common deterministic trends in varying means model, Copula-based Black-Litterman portfolio optimization, On non-stationary solutions to MSDDEs: representations and the cointegration space, Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages, A comparison of semiparametric tests for fractional cointegration, Testing for no-cointegration under time-varying variance, Long-term prediction of time series based on stepwise linear division algorithm and time-variant zonary fuzzy information granules, An empirical study on causal relationship between real effective exchange rate and foreign portfolio investment in Vietnam, On the Markov switching welfare cost of inflation, Financial stress, regime switching and macrodynamics, A residual-based ADF test for stationary cointegration in I(2) settings, Regression-based analysis of cointegration systems, A SIMPLE MODEL FOR THE NONEQUILIBRIUM DYNAMICS AND EVOLUTION OF A FINANCIAL MARKET, Co-integration testing using local-to-unity detrending: the impact of structural change under the null, Aggregate consumption functions for India: A cointegration analysis under structural changes, 1919-86, ESTIMATION AND INFERENCE FOR VARYING-COEFFICIENT MODELS WITH NONSTATIONARY REGRESSORS USING PENALIZED SPLINES, Vector autoregression modelling and forecasting growth of South Korea, The use of the ARDL approach in estimating virtual exchange rates in India, Bayesian inference in the triangular cointegration model using a jeffreys prior, Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series, Stability conditions for a bivariate arch system which is cointegrated in mean, A flexible parametric density estimator for multimodal distributions of test statistics, Implications of temporal aggregation on the relation between two time series, A pairs trading strategy based on linear state space models and the Kalman filter, Optimal pair-trading strategy over long/short/square positions—empirical study, Pairs trading with partial cointegration, A re-examination of Libor rigging: a time-varying cointegration perspective, LONG-RUN STRUCTURAL MODELLING, PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS, The Non-linear and Linear Impact of Investor Sentiment on Stock Returns: An Empirical Analysis of the US Market, CURRENT PROBLEMS IN ECONOMETRICS— A PERSONAL VIEW: Address on the Occasion of the Investiture of Professor John Denis Sargan with the Degree of Doctor Honoris Causa of the University Carlos III, 2 February 1993, J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY, INFERENCE ON SEGMENTED COINTEGRATION, MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE, COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH, RECOGNIZING OVERDIFFERENCED TIME SERIES, ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL, Asset prices and the fundamentals: a Q test, The monetary approach to the balance of payments and the IMF model of financial programming, Modelling the lead-lag effect between dual-class shares, Influential observations in cointegrated VAR models: Danish money demand 1973–2003, COINTEGRATION AND COMMON FACTORS, Comparisons of tests for multivariate cointegration, Stationary Subspace Analysis, New Improved Tests for Cointegration with Structural Breaks, A weighted symmetric cointegration test, Some recent developments in Markov Chain Monte Carlo for cointegrated time series, Nonstationary regression models with a lagged dependent variable, Nonstationary regression models with a lagged dependent variable, RECONSIDERING THE INVESTMENT–PROFIT NEXUS IN FINANCE‐LED ECONOMIES: AN ARDL‐BASED APPROACH, Aggregate consumption spending, the stock market and asymmetric error correction, Unnamed Item, Unnamed Item, Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach, Enhancing hedging performance with the spanning polynomial projection, Lagrance-multiplier tersts for weak exogeneity: a synthesis, Test for the null hypothesis of cointegration with reduced size distortion, The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study, THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS¹, THE LINEAR SYSTEMS APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS, A Short-Cut Derivation for the Solution of Autoregressive Models from Sharp Algebraic Arguments, Determining the number of factors in a multivariate error correction-volatility factor model, Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics, A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL, TESTS FOR NONLINEAR COINTEGRATION, Cointegrating Regressions with Time Heterogeneity, A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS, The most-cited statistical papers, ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY, A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION, Test for cointegration based on two-stage least squares, Do Flow Rates Respond Asymmetrically to Water Level? Evidence from the Edwards Aquifer, Lag‐augmented two‐ and three‐stage least squares estimators for integrated structural dynamic models, Testing for cointegration at any frequency using spectral methods, The role of the drift in I(2) systems, THE RANK OF A SUBMATRIX OF COINTEGRATION, BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION, A comparison of indicators for evaluating x-11-arima seasonal adjustment, Intertemporal consumer behaviour under structural changes in income, ‘Slow-burn’ spillover and ‘fast and furious’ contagion: a study of international stock markets, On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking, State space modeling of multiple time series, The Impact of Cointegration on Commodity Spread Options, Testing the Cointegrating Rank with Uncorrelated but Dependent Errors, Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes, A Meta Analytic Approach to Testing for Panel Cointegration, COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY, Estimator Choice and Fisher's Paradox: A Monte Carlo Study, COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES, DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION, A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES, REGRESSION-BASED SEASONAL UNIT ROOT TESTS, SPECTRAL MAXIMUM LIKELIHOOD ESTIMATION OF A SIGNAL-TO-NOISE RATIO LYING IN THE VICINITY OF ZERO, TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION, Finite sample performance of the model selection approach in co-integration analysis, BUSINESS FAILURES AND MACROECONOMIC FACTORS IN THE UK, A BAYESIAN CLASSIFICATION APPROACH TO MONETARY AGGREGATION, On the robustness of cointegration tests when series are fractionally intergrated, A REVIEW OF SYSTEMS COINTEGRATION TESTS, DYNAMIC FACTOR MODELS, NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000), TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT, NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY, A bivariate fractionally cointegrated relationship in the context of cyclical structures, UNBALANCED COINTEGRATION, Correlograms for Non-Stationary Autoregressions, PROFITS, INVESTMENT AND BUSINESS FLUCTUATIONS, On the robustness of cointegration tests when series are fractionally intergrated, BOOSTING-BASED FRAMEWORK FOR PORTFOLIO STRATEGY DISCOVERY AND OPTIMIZATION, Nonlinear Cointegration and Nonlinear Error Correction: Record Counting Cointegration Tests, A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION, ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS, Basis risk modelling: a cointegration-based approach, How might sovereign bond yields in Asia Pacific react to US monetary normalisation under turbulent market conditions?, Causal structure among US corn futures and regional cash prices in the time and frequency domain, Pairs trading under delayed cointegration, Automated Estimation of Heavy-Tailed Vector Error Correction Models, Comparative Study of Models for Forecasting Nigerian Stock Exchange Market Capitalization, A comparison of some common methods for detecting Granger noncausality, The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors, Using COGARCH-Filtered Volatility in Modelling Within ARDL Framework, Panel Data Analysis, Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model, INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY, THE LINEAR DEPENDENCE AND FEEDBACK SPECTRA BETWEEN STOCK MARKET AND ECONOMY, On causal and non‐causal cointegrated vector autoregressive time series, Optimal Cross-Border Electricity Trading, ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES, Trading Signals in VIX Futures, Nonlinear Relationship Between Permanent and Transitory Components of Monetary Aggregates and the Economy, Most stringent test of null of cointegration: a Monte Carlo comparison, INSURANCE AND REAL OUTPUT: THE KEY ROLE OF BANKING ACTIVITIES, Testing for cointegration in nonlinear asymmetric smooth transition error correction models, Spurious regression between long memory series due to mis-specified structural breaks, Identifying Cointegration by Eigenanalysis, Cointegrated continuous-time linear state-space and MCARMA models, SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES, Short- and Long-Term Dynamics of Cause-Specific Mortality Rates Using Cointegration Analysis, Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process, Testing for ar(1) against ima(1,1) disturbances in the linear regression model, The spectral analysis of the Hodrick–Prescott filter, The role of the constant and linear terms in cointegration analysis of nonstationary variables, Cointegration and direct tests of the rational expectations hypothesis, Vector autoregression and causality: a theoretical overview and simulation study, Estimating systems of trending variables, A vector of quarters representation for bivariate time series, IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS, On the interactions of unit roots and exogeneity, Volatility modeling and prediction: the role of price impact, Examining the interrelation dynamics between option and stock markets using the Markov-switching vector error correction model, Concurrent processing of heteroskedastic vector-valued mixture density models, An alternative proof of Granger’s Representation Theorem forI(1) systems through Jordan matrices, Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries, A cointegration analysis of crime, economic activity, and police performance in São Paulo city, Decomposing the predictive performance of the moving average trading rule of technical analysis: the contribution of linear and non-linear dependencies in stock returns, Analyzing time–frequency relationship between oil price and exchange rate in Pakistan through wavelets, An empirical study on the threshold cointegration of Chinese A and H cross-listed shares, MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS, Dynamic data envelopment analysis, Improving the Forecast of Longevity by Combining Models, Error-Correction Factor Models for High-dimensional Cointegrated Time Series, THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL, On the usability of the fluctuation test statistic to identify multiple cointegration break points, ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS, A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA, UNIT ROOTS IN PERIODIC AUTOREGRESSIONS, The dynamics of the relationship between spot and futures markets under high and low variance regimes, A multivariate time series approach to projected life tables, The Optimal Foreign Exchange Futures Hedge on the Bitcoin Exchange Rate: An Application to the U.S. Dollar and the Euro, Time Series Analysis of Ether Cryptocurrency Prices: Efficiency, Predictability, and Arbitrage on Exchange Rates, Unnamed Item, MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS, PATH INTEGRAL METHOD FOR LIMITING DISTRIBUTION OF AN ESTIMATOR ARISING FROM AN AR(1)-PROCESS WITH A UNIT ROOT, THE ET INTERVIEW: PROFESSOR DAVID F. HENDRY: Interviewed by Neil R. Ericsson, Filtering Response Directions, An optimization technique based on a vector autoregression model with state space representation: application to Ukrainian cargo transport data, TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS, MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS, Consistent testing for non‐correlation of two cointegrated ARMA time series, Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II, IV‐BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME‐VARYING VARIANCE, MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY, Signal Extraction for Non‐Stationary Multivariate Time Series with Illustrations for Trend Inflation, Firm size, information acquisition and price efficiency, Strong dependence in the nominal exchange rates of the Polish zloty, Residuals‐based tests for the null of no‐cointegration: an Analytical comparison, Efficient estimation and inference in cointegrating regressions with structural change, Modeling assets and liabilities of a finnish pension insurance company: a VEqC approach, TIME-VARYING COINTEGRATION, Simulating competing cointegration tests in a bivariate system, TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS, Optimal pair-trading strategy over long/short/square positions—empirical study, Pairs trading with partial cointegration, Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices, The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment, Digital economy era: the role of the telecommunications sector in frequency-dependent default risk connectedness, Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences, A Parametric approach to the Estimation of Cointegration Vectors in Panel Data, Modelling comovements of economic time series: a selective survey, A graph‐based approach to find teleconnections in climate data, Liver cirrhosis and alcohol consumption in the U.K., Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration, Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes, More powerful Engle–Granger cointegration tests, AN ANALYSIS OF ASIAN MARKET INTEGRATION PRE- AND POST-CRISIS, Priors for the Long Run, Optimal investment and consumption under a continuous-time cointegration model with exponential utility, Copper Price Discovery on COMEX, 2006–2015, OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT, Stochastic modeling of assets and liabilities with mortality risk, A Test of the validity of Crowding-out (or- in) hypothesis: A new examination of link between public borrowing and private investment in Emerging Europe, Are tightened trading rules always bad? Evidence from the Chinese index futures market, Counterfactual Analysis With Artificial Controls: Inference, High Dimensions, and Nonstationarity, Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach, Forecasting vector autoregressions with mixed roots in the vicinity of unity, Pairs trading with wavelet transform, Does remittance and human capital formation affect financial development? A comparative analysis between India and China, Modeling and forecasting of stock index volatility with APARCH models under ordered restriction, Critical value functions for likelihood-ratio tests for normality, Cointegration Rank Estimation for High-Dimensional Time Series With Breaks, l₁common trend filtering: an extension, Sparse vector error correction models with application to cointegration‐based trading, Inference for the VEC(1) model with a heavy-tailed linear process errors*, Optimizing high-dimensional stochastic forestry \textit{via} reinforcement learning, Pairs trading via unsupervised learning, COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES, Pre-selection in cointegration-based pairs trading, What drives population ageing? A cointegration analysis, On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing, Estimation and inference in adaptive learning models with slowly decreasing gains, Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates, Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions, Inference for high‐dimensional linear models with locally stationary error processes, Robust optimal asset-liability management with mispricing and stochastic factor market dynamics, Fredholm inversion around a singularity: application to autoregressive time series in Banach space, Inference in Heavy-Tailed Nonstationary Multivariate Time Series, Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities, A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics, Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence, Semi-parametric single-index predictive regression models with cointegrated regressors, Unnamed Item, Improved estimates and forecasts of error correction models in economics, Durbin-Hausman tests for cointegration, Durbin-Hausman tests for cointegration, Improved estimates and forecasts of error correction models in economics, Nonlinear estimation using estimated cointegrating relations, A new definition for time-dependent price mean reversion in commodity markets, Are currency devaluations effective? A panel unit root test, Increasing convergence among European stock markets?: A recursive common stochastic trends analysis, Are current account deficits sustainable?: Evidence from panel cointegration, Inflation breakeven in the Jarrow and Yildirim model and resulting pricing formulas, Econometric tests of rationality and market efficiency, Semiparametric fractional cointegration analysis, Multivariate cointegration analysis of the Finnish-Japanese stock markets, A systematic framework for analyzing the dynamic effects of permanent and transitory shocks., Specification search in nonlinear time-series models using the genetic algorithm., Estimating theoretically consistent demand systems using cointegration techniques with application to Greek food data, A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables, A simple cointegrating rank test without vector autoregression, Inference on co-integration parameters in heteroskedastic vector autoregressions, REPRESENTATION OF I(1) AND I(2) AUTOREGRESSIVE HILBERTIAN PROCESSES, A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS, A general inversion theorem for cointegration, Some notes on nonlinear cointegration: A partial review with some novel perspectives, Bootstrap tests for time varying cointegration, Functional-coefficient cointegration models in the presence of deterministic trends, Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates, Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series, Multistep ahead forecasting of vector time series, Panel data measures of price discovery