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The algebra of I (1)

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Author Info

  • C.W.J. Granger
  • Jeff Hallman

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Bibliographic Info

Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Finance and Economics Discussion Series with number 45.

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Date of creation: 1988
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Handle: RePEc:fip:fedgfe:45

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Related research

Keywords: Time-series analysis ; Random walks (Mathematics);

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Cited by:
  1. Peter Sephton, 2005. "Predicting the equity premium with dividend ratios: a matter of balance," Applied Economics Letters, Taylor & Francis Journals, vol. 12(3), pages 145-147.
  2. . Luigi Ermini & David Hendry, . "Log income versus linear income: an application of the encompassing principl," Economics Papers W6, Economics Group, Nuffield College, University of Oxford.
  3. Yann Schorderet, 2003. "Asymmetric Cointegration," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2003.01, Institut d'Economie et Econométrie, Université de Genève.
  4. Christian Gourieroux & Joann Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 2000_1, York University, Department of Economics.
  5. Daniel Levy, 2000. "Investment-Saving Comovement and Capital Mobility: Evidence from Century Long U.S. Time Series," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(1), pages 100-137, January.
  6. Jag Chadha & Andrew Haldane & Norbert Janssen, 1998. "Shoe-leather costs reconsidered," Bank of England working papers 86, Bank of England.
  7. Jeffrey J. Hallman, 1990. "Cointegration and transformed series," Working Paper 9014, Federal Reserve Bank of Cleveland.
  8. Felipe M. Aparicio & Alvaro Escribano, 2003. "Cointegration Tests Based On Record Counting Statistics," Statistics and Econometrics Working Papers ws036615, Universidad Carlos III, Departamento de Estadística y Econometría.
  9. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2003. "Range Unit Root Tests," Statistics and Econometrics Working Papers ws031126, Universidad Carlos III, Departamento de Estadística y Econometría.

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