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The algebra of I (1)

Author

Listed:
  • Clive W. J. Granger
  • Jeffrey J. Hallman

Abstract

No abstract is available for this item.

Suggested Citation

  • Clive W. J. Granger & Jeffrey J. Hallman, 1988. "The algebra of I (1)," Finance and Economics Discussion Series 45, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfe:45
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    Cited by:

    1. Aparicio, Felipe M. & Escribano, Álvaro & García, Ana, 2003. "Range unit root tests," DES - Working Papers. Statistics and Econometrics. WS ws031126, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. . Luigi Ermini & David Hendry, "undated". "Log income versus linear income: an application of the encompassing principl," Economics Papers W6, Economics Group, Nuffield College, University of Oxford.
    3. 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.
    4. 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.
    5. Chadha, Jagjit S & Haldane, Andrew G & Janssen, Norbert G J, 1998. "Shoe-Leather Costs Reconsidered," Economic Journal, Royal Economic Society, vol. 108(447), pages 363-382, March.
    6. Jeffrey J. Hallman, 1990. "Cointegration and transformed series," Working Papers (Old Series) 9014, Federal Reserve Bank of Cleveland.
    7. Aparicio, Felipe M. & Escribano, Álvaro, 2003. "Cointegration tests based on record counting statistics," DES - Working Papers. Statistics and Econometrics. WS ws036615, Universidad Carlos III de Madrid. Departamento de Estadística.
    8. Damen, Sven & Vastmans, Frank & Buyst, Erik, 2016. "The effect of mortgage interest deduction and mortgage characteristics on house prices," Journal of Housing Economics, Elsevier, vol. 34(C), pages 15-29.

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