Some thoughts on the development of cointegration
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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- Cavaliere, Giuseppe, 2005.
"Limited Time Series With A Unit Root,"
Cambridge University Press, vol. 21(05), pages 907-945, October.
- Giuseppe Cavaliere, 2003. "Limited time series with a unit root," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.
- Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, August.
- Roger Koenker & Kevin F. Hallock, 2001. "Quantile Regression," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 143-156, Fall.
- Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521608275, August.