Some thoughts on the development of cointegration

DOI10.1016/J.JECONOM.2010.03.002MaRDI QIDQ736550zbMATH OpenOpenAlexFDO

Authors Clive W. J. Granger

Publication date 4 August 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2010.03.002

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
• Some notes on nonlinear cointegration: a partial review with some novel perspectives
• On the Definitions of (Co-)integration
• Quantile regression and application for a class of cointegration models
• Quantile cointegrating regression

Cites work

• scientific article; zbMATH DE number 1069579 (Why is no real title available?)
• scientific article; zbMATH DE number 3437326 (Why is no real title available?)
• LIMITED TIME SERIES WITH A UNIT ROOT
• Quantile regression.

Cited in

(14)

• Testing for boundary conditions in case of fractionally integrated processes
• Testing for unit roots in bounded time series
• Modeling time series data with semi-reflective boundaries
• Regulated fractionally integrated processes
• Dynamic factor structure of team performances in Liga MX
• Semiparametric modeling of multiple quantiles
• Bounded unit root processes with non-stationary volatility
• Time series modeling of paleoclimate data
• Challenges and opportunities for twenty first century Bayesian econometricians: a personal view
• Detecting Multiple Level Shifts in Bounded Time Series
• Functional-coefficient quantile cointegrating regression with stationary covariates
• Editorial: Twenty years of cointegration
• Cointegration in a historical perspective
• Quantile cointegration in the autoregressive distributed-lag modeling framework

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