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Cointegration in a historical perspective

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  • Boswijk, H. Peter
  • Franses, Philip Hans
  • van Dijk, Dick

Abstract

We analyse the impact of the Engle and Granger (1987) article by means of its citations over time, and find evidence of a second life starting in the new millennium. Next, we propose a possible explanation of the success of this citation classic. We argue that the conditions for its success were just right at the time of its appearance, because of the growing emphasis on time series properties in econometric modelling, the empirical importance of stochastic trends, the availability of sufficiently long macroeconomic time series, and the availability of personal computers and econometric software for carrying out the new techniques.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:econom:v:158:y:2010:i:1:p:156-159
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    Cited by:

    1. Wei Jiang & Rong Duan & Siu-Tong Au, 2012. "A Cointegration Model with Structure Breaks for Customer Migration Analysis," Service Science, INFORMS, vol. 4(1), pages 42-54, March.

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    Keywords

    Cointegration Citations;

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