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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.

Suggested Citation

  • Granger, Clive W.J., 2010. "Some thoughts on the development of cointegration," Journal of Econometrics, Elsevier, vol. 158(1), pages 3-6, September.
    • Handle: RePEc:eee:econom:v:158:y:2010:i:1:p:3-6
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    References listed on IDEAS

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    1. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731.
    2. Cavaliere, Giuseppe, 2005. "Limited Time Series With A Unit Root," Econometric Theory, Cambridge University Press, vol. 21(5), pages 907-945, October.
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