IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-1-4612-2414-3_24.html
   My bibliography  Save this book chapter

Conjugate Processes

In: Modelling and Prediction Honoring Seymour Geisser

Author

Listed:
  • Clive W. J. Granger

    (University of California, San Diego, Department of Economics)

  • Lin Jin-Lung

    (Academia Sinica, Institute of Economics)

Abstract

Two series are said to be conjugate if each of them has dynamic structure, yet they add up to a white noise. It imposes constraints on the parameters of the data generation processes and has implications for estimation and forecasting. Simulations are carried out to study the size of efficiency gain in estimation from this additional piece of information and an empirical application is considered. In addition, the relation between conjugate processes and cointegration is investigated.

Suggested Citation

  • Clive W. J. Granger & Lin Jin-Lung, 1996. "Conjugate Processes," Springer Books, in: Jack C. Lee & Wesley O. Johnson & Arnold Zellner (ed.), Modelling and Prediction Honoring Seymour Geisser, pages 378-388, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4612-2414-3_24
    DOI: 10.1007/978-1-4612-2414-3_24
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-1-4612-2414-3_24. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.