Cointegration Since Granger : Evolution and Development

• Autorzy: Ewa Marta Syczewska
• Języki publikacji: EN

Abstrakty

EN

This paper is an attempt to give a subjective overview of evolution and development of cointegration concept since the first paper by C.W.J. Granger in 1991, Johansen's reduced rank method of 1987 and Engle and Granger 1987 paper. Various generalizations are rather diversified and find many applications in macroeconomics and financial econometrics. After 30 years the concept is still quite important in theory and in applied work. (original abstract)

Słowa kluczowe

EN

Cointegration; Econometrics; Literature review

PL

Kointegracja; Ekonometria; Przegląd literatury

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2011
• Tom: 12(XII)
• Numer: nr 1
• Strony: 147--164

Twórcy

autor

Ewa Marta Syczewska

• Szkoła Główna Handlowa w Warszawie

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• Google
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