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. Altho...
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| Format: | Journal article |
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European Journal of Pure and Applied Mathematics
2017
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