BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Syczewska Ewa Marta (Szkoła Główna Handlowa w Warszawie)
Cointegration Since Granger : Evolution and Development
Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego, 2011, vol. 12(XII), nr 1, s. 147-164, rys., bibliogr. 63 poz.
Quantitative Methods in Economics
Słowa kluczowe
Kointegracja, Ekonometria, Przegląd literatury
Cointegration, Econometrics, Literature review
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)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Pełny tekst
  1. Andersen T.G., Bollerslev T., Diebold F.X., Wu G. (2006) Realized beta: persistence and predictability, in: Econometric Analysis of Financial and Economic Time Series, Part B. Advances in Econometrics, 20, pp. 1-39.
  2. Andrews D.W.K., Zivot E. (1992) Further Evidence on the Great Crash, the Oil Price Shock and the Unit Root Hypothesis, Journal of Business and Economic Statistics, 10(3), pp. 251-270.
  3. Arouri M.E.H., Jawadi F., Nguyen D.K. (2011) Nonlinear Cointegration and Nonlinear Error-Correction Models: Theory and Empirical Applications for Oil and Stock Markets, chapter 9 in: Gregoriou G.N., Pascalau R. (ed.) (2011) Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, Palgrave Macmillan, Houndmills, Basingstoke, pp. 171-193.
  4. Baillie R.T. (1996) Long Memory Processes and Fractional Integration in Econometrics, Journal of Econometrics, 73(1), pp. 5-59.
  5. Bailie R.T., Bollerslev T. (1994) Cointegration, Fractional Cointegration, and Exchange Rate Dynamics, The Journal of Finance, 79, 737-745.
  6. Balke N.S., Fomby T.B. (1997) Threshold cointegration, International Economic Review, 38, pp. 627-645.
  7. Bauer D. (2001) Order Estimation for Subspace Methods, Automatica 37, pp. 1561-1573.
  8. Bauer D., Wagner M. A Canonical Form for Unit Root Analysis in the State Space Framework, VWI Diskussionschrift, University of Bern, Switzerland.
  9. Bewley R., Yang M. (1995) Tests for Cointegration Based on Canonical Correlation Analysis, Journal of the American Statistical Association, 90, pp. 990-996.
  10. Bossaerts P. (1988) Common Nonstationary Components in Stock Prices, Journal of Economic Dynamics and Control, 12, pp. 347-364.
  11. Breitung J. (2001) Rank Tests for Nonlinear Cointegration, Journal of Business and Economic Statistics, 19, 331 -340.
  12. Bruzda J. (2006) Empirical Verification of Money Demand Models: Non-linear Cointegration Analysis, Dynamic Econometric Models, Vol. 7, pp. 113-123.
  13. Cheung Y.-W., Lai K.S. (1993) A Fractional Cointegration Analysis of Purchasing Power Parity, Journal of Business and Economic Statistics, 11, pp. 103-112.
  14. Christensen B.J., M.O. Nielsen (2002) Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation, Working Paper No. 2001-4, Centre for Dynamic Modelling in Economics, Department of Economics, University of Aarhus, Aarhus, Denmark,
  15. Conversation with Søren Johansen and Katarina Juselius (2010), in: [Rosser et al. 2010], and at:
  16. Corbae D., Ouliaris S. (1988) Cointegration and Tests of Purchasing Power Parity, The Review of Economics and Statistics, MIT Press, 70(3), pp. 508-11.
  17. Dittman I. (2004) Error Correction Models for Fractionally Cointegrated Time Series, Journal of Time Series Analysis, Wiley Blackwell, 25(1), pp. 27-32.
  18. Dittman I., Granger C.W.J. (2002) Properties of Nonlinear Transformations of Fractionally Integrated Processes, Journal of Econometrics, 110(2), pp. 113-133.
  19. Dufrénot G., Mignon V. (2002), Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance, Kluwer Academic Publishers, Dordrecht.
  20. Engle R.F., Granger C.W.J. (1987) Cointegration and error correction mechanism: Representation, Estimation and Testing, Econometrica, 55, pp. 251-276.
  21. Fabozzi F.J., Focardi S.M., Kolm P.N. (2006) Financial Modeling of the Equity Market: from CAPM to Cointegration, Wiley, Hoboken, New Jersey.
  22. Focardi S., Fabozzi F.J. (2004) The mathematics of financial modeling and investment management, Wiley, Hoboken, New Jersey.
  23. Geweke J., Porter-Hudak S. (1983), The Estimation and Application of Long Memory Time Series Models, Journal of Time Series Analysis, 4, pp. 221-238.
  24. Gonzalo J. (2010) The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems", Journal of Financial Econometrics, Oxford University Press, vol. 8(2), pages 174-176.
  25. Granger C.W.J. (1981) Some Properties of Time Series Data and Their Use in Econometric Model Specification, Journal of Econometrics 16, pp. 121-130.
  26. Granger C.W.J., Joyeux R. (1980), An Introduction to Long-Memory Time Series Models and Fractional Differencing, Journal of Time Series Analysis, 1, pp. 15-29.
  27. Granger C.W.J., Yoon G. (2002) Hidden Cointegration, Economic Working Paper Series, No. 539384, Department of Economics, University of California at San Diego.
  28. Gregoriou G.N., Pascalau R. (ed.) (2011) Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, Palgrave Macmillan, Houndmills, Basingstoke.
  29. Hosking J.M.R. (1981), Fractional differencing, Biometrika,68, pp. 165-176.
  30. Hylleberg S., Engle R.F., Granger C.W.J., Yoo S.B. (1990) Seasonal integration and cointegration, Journal of Econometrics, 44, pp. 215-238.
  31. Johansen S. (2011) An Extension of Cointegration to Fractional Autoregressive Processes, CREATES Research Papers 2011-06, School of Economics and Management, University of Aarhus.
  32. Johansen S. (1991) Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian VAR Models, Econometrica, 59, pp. 1551-1580.
  33. Johansen S. (1995) Likelihood-based inference in cointegrated vector autoregressive models, Oxford University Press, Oxford.
  34. Juselius K., Johansen S. (1990) The full information maximum likelihood procedure for inference on cointegration - with applications, Oxford Bulletin of Statistics and Economics, 52(2), pp. 169-211.
  35. Juselius K., Johansen S. (1992) Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK, Journal of Econometrics, 53, pp. 211-244.
  36. Keenan D.M. (1985) A Tukey Nonadditivity-Type Test for Time Series Nonlinearity, Biometrika, 72(1), pp. 39-44.
  37. Koop G., Ley E., Osiewalski J., Steel M.F.J. (1997) Bayesian analysis of long memory and persistence using ARFIMA models, Journal of Econometrics 76, pp. 149-169.
  38. Kotłowski J. Money and Prices in the Polish Economy, Seasonal Cointegration Approach (in Polish), Warsaw School of Economics, or shorter version - Working Paper in English:
  39. Lasak K. (2008) Likelihood Based Testing for No Fractional Cointegration, CREATES Research Papers 2008-52, School of Economics and Management, University of Aarhus.
  40. Lasak K. (2008) Maximum Likelihood Estimation of Fractionally Cointegrated Systems, CREATES Research Paper 2008-53, School of Economics and Management, University of Aarhus.
  41. Lo A.W. (1991) Long Term Memory in Stock Market Prices, Econometrica, 59(5), pp. 1279-1313.
  42. Maddala G.C., In-Moo Kim (1998) Unit Roots, Cointegration, and Structural Change, Cambridge University Press, Cambridge.
  43. Majsterek M. (2008) Wielowymiarowa analiza kointegracyjna w ekonomii (Multivariate cointegration analysis, in Polish), Wydawnictwo Uniwersytetu Łódzkiego, Łódź.
  44. Marinucci D., Robinson P.M. (2001) Semiparametric Fractional Cointegration Analysis, Journal of Econometrics, 105, pp. 225-247.
  45. Phillips P.C.B. (1999a) Discrete Fourier Transforms of Fractional Processes, Cowles Foundation Discussion Paper No. 1243, Cowles Foundation for Research in Economic, Yale University, New Haven,
  46. Phillips P.C.B. (1999b) Unit Root Log Periodogram Regression, Cowles Foundation Discussion Paper No. 1243, Cowles Foundation for Research in Economic, Yale University, New Haven,
  47. Phillips P.C.B., B.E. Hansen (1990) Statistical Inference in Instrumental Variables Regression with I(1) Process, Review of Economic Studies, 57, 99-125.
  48. Robinson P.M. (1994) Semiparametric Analysis of Long-memory Time Series, Annals of Statistics, 22, pp. 515-539.
  49. Robinson P.M. (1995) Log-periodogram Regression of Time Series with Long Range Dependence, Annals of Statistics, 23, pp. 1048-1072.
  50. Rosser J.B., Holt R.P.F., Colander D. (eds.) (2010), European Economics at a Crossroads, Edward Elgar, Cheltenham.
  51. Shimotsu K., Phillips P.C.B. (2002) Exact Local Whittle Estimation of Fractional Integration, Cowles Foundation Discussion Paper, 1367.
  52. Sowell F. (1992) Maximum likelihood estimation of stationary univariate fractionally integrated time series models, Journal of Econometrics, 53(103), pp. 165-188.
  53. Sowell F. (1990) The Fractional Unit Root Distribution, Econometrics, 58(2), 495-505.
  54. Stock J.H. (1987) Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors, Econometrica, 55, pp. 277-302.
  55. Stock J.H., Watson M.W. (1988) Testing for Common Trends, Journal of the American Statistical Association, 83, pp. 1097-1107.
  56. Van Dijk D., Teräsvirta T., Franses P.H. (2002) Smooth transition autoregressive models - a survey of recent developments, Econometric Reviews 21, 1-47.
  57. Wagner M. (2004) A Comparison of Johansen's, Bierens' and the Subspace Algorithm Method for Cointegration Analysis, Oxford Bulletin of Economics and Statistics, 66(3), pp. 399-424.
  58. Wagner M. (2010) Cointegration Analysis with State Space Models, Economics Series, 248, Institute for Advanced Studies, Vienna.
  59. Google
  60. Gary Koop web page:
  61. Katarina Juselius web page:
  62. C.W.J. Granger Nobel prize lecture:
Cytowane przez
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu