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Autor
Syczewska Ewa Marta (Szkoła Główna Handlowa w Warszawie)
Tytuł
Cointegration Since Granger : Evolution and Development
Źródło
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
Uwagi
summ.
Abstrakt
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)
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Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Pełny tekst
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Bibliografia
Pokaż
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ISSN
2082-792X
Język
eng
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