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Some thoughts on the development of cointegration

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  • Granger, Clive W.J.

Abstract

This 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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File URL: http://www.sciencedirect.com/science/article/B6VC0-4YXK4MX-1/2/ab4669c6420d31a5d29926d3275b351a
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 158 (2010)
Issue (Month): 1 (September)
Pages: 3-6

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Handle: RePEc:eee:econom:v:158:y:2010:i:1:p:3-6

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Giuseppe Cavaliere, 2003. "Limited time series with a unit root," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.
  2. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521608275, October.
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Cited by:
  1. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.
  2. Franses, Ph.H.B.F. & van Dijk, D.J.C., 2009. "Cointegration in a historical perspective," Econometric Institute Research Papers EI 2009-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  3. 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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