Clive W.J. Granger and Cointegration
Clive Granger developed the fundamental concept of cointegration for linking variables within non-stationary vector time series. Granger discovered cointegration while trying to refute a critique by Hendry of his research with Paul Newbold on `nonsense regressions' betweeen nonstationary data....
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| フォーマット: | Journal article |
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European Journal of Pure and Applied Mathematics
2017
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