Some thoughts on the development of cointegration
AbstractThis paper describes how the notion of cointegration came about, and discusses some generalizations to indicate where the topic may go next. In particular, some issues in the analysis of possibly cointegrated quantile time series are discussed.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 158 (2010)
Issue (Month): 1 (September)
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Web page: http://www.elsevier.com/locate/jeconom
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Giuseppe Cavaliere, 2003.
"Limited time series with a unit root,"
Quaderni di Dipartimento
1, Department of Statistics, University of Bologna.
- Roger Koenker & Kevin F. Hallock, 2001.
Journal of Economic Perspectives,
American Economic Association, vol. 15(4), pages 143-156, Fall.
- Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick, 2010. "Cointegration in a historical perspective," Journal of Econometrics, Elsevier, vol. 158(1), pages 156-159, September.
- Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, School of Economics and Management, University of Aarhus.
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