Some thoughts on the development of cointegration

Journal of Econometrics

Volumn 158, Issue 1, 2010, Pages 3-6

  Granger, Clive W J ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COINTEGRATION;

TIME SERIES;

TIME SERIES ANALYSIS;

EID: 77955417800     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.03.002     Document Type: Conference Paper

References (6)

1. G. Cavaliere Limited time series with a unit root Econometric Theory 21 2005 907 945
2. C.W.J. Granger Positively related processes and cointegration T. Subba Rao, Developments in Time Series Analysis, in Honor of Maurice Priestley 1993 Chapman and Hall London
3. C.W.J. Granger, and J. Bates The combination of forecasts Operations Research Quarterly 20 1969 451 468
4. C.W.J. Granger, and C.-Y. Sin Modelling absolute returns of different stock indices: exploring the forecastability of an alternative measure of risk Journal of Forecasting 19 2000 277 298
5. R. Koenker Quantile Regression 2005 Cambridge University Press Cambridge
6. E. Seneta Non-Negative Matrices 1973 Wiley New York